A stochastic-dynamic approach to pension funding
β Scribed by Thomas O'Brien
- Publisher
- Elsevier Science
- Year
- 1986
- Tongue
- English
- Weight
- 568 KB
- Volume
- 5
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In this paper we develop a simulationβbased approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__βvalues. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a
This paper is focused on the dynamic allocations of Spanish balanced pension plans that invest predominantly in Euroβzone equities. Applying a Bayesian method to a returnβbased style analysis that includes the constraints of the strong version and timeβvarying exposures, we provide evidence for no s