A Stochastic Control Approach to Defined Contribution Plan Decumulation: 'The Nastiest, Hardest Problem in Finance'
| Autor: | Peter Forsyth |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Stochastic control Economics and Econometrics Defined contribution plan 050208 finance Pension plan Operations research 05 social sciences 1. No poverty 01 natural sciences 010104 statistics & probability 0502 economics and business Economics 0101 mathematics Statistics Probability and Uncertainty |
| Zdroj: | North American Actuarial Journal. 26:227-251 |
| ISSN: | 2325-0453 1092-0277 |
| DOI: | 10.1080/10920277.2021.1878043 |
| Popis: | We pose the decumulation strategy for a defined contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy.... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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