Simple explicit formula for near-optimal stochastic lifestyling

Author:

Černý Aleš,Melicherčík Igor

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference24 articles.

1. Diversification across time;Ayres;Journal of Portfolio Management,2013

2. Information relaxations, duality, and convex stochastic dynamic programs;Brown;Operations Research,2014

3. Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans;Cairns;Journal of Economic Dynamics & Control,2006

4. Characterization of the oblique projector U(VU)†V with application to constrained least squares;Černý;Linear Algebra and Its Applications,2009

5. Černý, A., & Melicherčík, I. (2019). Table of robustness results. https://www.martingales.sk/cerny_melichercik_robustness.html. Accessed: 2019-11-21.

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