Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
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Publication:956531
DOI10.1016/J.JEDC.2005.03.009zbMATH Open1200.91297OpenAlexW2113155572MaRDI QIDQ956531FDOQ956531
Authors: Andrew J. G. Cairns, David Blake, Kevin Dowd 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/24831/
Recommendations
- Optimal investment strategy for defined contribution pension schemes
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- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
HJB equationstochastic controloptimal asset allocationhabit formationnon-hedgeable salary riskstochastic lifestylingutility numeraire
Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20)
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