Optimal investment strategy for defined contribution pension schemes

Author:

Vigna Elena,Haberman Steven

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference17 articles.

1. Arrow, K., 1970. Essays in the Theory of Risk Bearing. North-Holland, Amsterdam, pp. 90–120.

2. Bellman, R., Kalaba, R., 1965. Dynamic Programming and Modern Control Theory. Academic Press, New York.

3. Investment policy for defined contribution pension scheme members close to retirement: an analysis of the “lifestyle” concept;Booth;North American Actuarial Journal,2000

4. Cairns, A.J., 1996. An introduction to stochastic pension fund management. Discussion Paper PI-9607. The Pension Institute, Birbeck College, University of London, London, UK.

5. Cairns, A.J., 1997. A comparison of optimal and dynamic control strategies for continuous-time pension fund models. AFIR’97.

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