Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

DOI10.1016/j.jedc.2005.03.009zbMath1200.91297OpenAlexW2113155572MaRDI QIDQ956531

Andrew J. G. Cairns, David Blake, Kevin Dowd

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/24831/

zbMATH Keywords

stochastic controlHJB equationoptimal asset allocationhabit formationnon-hedgeable salary riskstochastic lifestylingutility numeraire

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

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