Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time

ASTIN Bulletin

Volumn 30, Issue 1, 2000, Pages 19-55

  Cairns, Andrew ^a  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

asset allocation; Bellman equation; constraints; Continuous time; contribution strategy; optimal control; stochastic differential equation

Indexed keywords

EID: 0002294087     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.30.1.504625     Document Type: Article

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