Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries

Autor:	Damilola Deborah Dare, Opeyemi Odunayo Esan, Tolulope Latunde, Joseph Oluwaseun Richard
Rok vydání:	2020
Předmět:	parameters Stochastic control Pension Pension plan General Mathematics Middle income countries General Physics and Astronomy General Chemistry lcsh:QC1-999 Stochastic programming Microeconomics risky asset Model simulation Economics Portfolio stochastic Volatility (finance) control lcsh:Physics
Zdroj:	Journal of Nigerian Society of Physical Sciences, Vol 2, Iss 1 (2020)
ISSN:	2714-4704 2714-2817
DOI:	10.46481/jnsps.2020.22
Popis:	One of the major problems faced in the management of pension funds and plan is how to allocate and control the future flow of contribution likewise the proportion of portfolio value and investments in risky assets. This work considers the management of a pension plan by means of a stochastic dynamic programming model based on Merton's model. The model is analyzed such that the conditions of optimal contribution and investment in risky assets are determined and sensitized. The case study of Nigeria, Ghana, Kenya is considered for various periods in the model simulation. Thus, the volatility condition obtained is used to estimate the efficiency of some important parameters of the model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dafa2509a98ad69111a18630c57f52ba https://doi.org/10.46481/jnsps.2020.22 Zobrazit plný text záznamu