A pension fund in the accumulation phase: a stochastic control approach

Salvatore Federico. "A pension fund in the accumulation phase: a stochastic control approach." Banach Center Publications 83.1 (2008): 61-83. <http://eudml.org/doc/282419>.

@article{SalvatoreFederico2008,
abstract = {In this paper we propose and study a continuous time stochastic model of optimal allocation for a defined contribution pension fund in the accumulation phase. The level of wealth is constrained to stay above a "solvency level". The fund manager can invest in a riskless asset and in a risky asset, but borrowing and short selling are prohibited. The model is naturally formulated as an optimal stochastic control problem with state constraints and is treated by the dynamic programming approach. We show that the value function of the problem is a continuous viscosity solution of the associated Hamilton-Jacobi-Bellman equation. In the special case when the boundary is absorbing we show that it is the unique viscosity solution of the Hamilton-Jacobi-Bellman equation.},
author = {Salvatore Federico},
journal = {Banach Center Publications},
keywords = {defined contribution pension fund; stochastic optimal control; dynamic programming; Hamilton–Jacobi–Bellman equations; viscosity solutions},
language = {eng},
number = {1},
pages = {61-83},
title = {A pension fund in the accumulation phase: a stochastic control approach},
url = {http://eudml.org/doc/282419},
volume = {83},
year = {2008},
}

TY - JOUR
AU - Salvatore Federico
TI - A pension fund in the accumulation phase: a stochastic control approach
JO - Banach Center Publications
PY - 2008
VL - 83
IS - 1
SP - 61
EP - 83
AB - In this paper we propose and study a continuous time stochastic model of optimal allocation for a defined contribution pension fund in the accumulation phase. The level of wealth is constrained to stay above a "solvency level". The fund manager can invest in a riskless asset and in a risky asset, but borrowing and short selling are prohibited. The model is naturally formulated as an optimal stochastic control problem with state constraints and is treated by the dynamic programming approach. We show that the value function of the problem is a continuous viscosity solution of the associated Hamilton-Jacobi-Bellman equation. In the special case when the boundary is absorbing we show that it is the unique viscosity solution of the Hamilton-Jacobi-Bellman equation.
LA - eng
KW - defined contribution pension fund; stochastic optimal control; dynamic programming; Hamilton–Jacobi–Bellman equations; viscosity solutions
UR - http://eudml.org/doc/282419
ER -