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Detail publikace
Citace
: Controlling of pension fund investment by using Bellman´s optimality principle . Control Systems Design ´03, p. 1-6, IFAC, Bratislava, 2003.
Abstrakt
This paper analyzes the financial risk in a contribution defined pension fund in the Czech republic. The Bellmans optimality principle is used to derive the best allocation of a pension fund asset in the two-asset world. The principal results concern the suitability of the optimal pension fund strategy and the large variability of the level of achievement in pension fund asset in the case of variable rates of assets return.
Detail publikace
| Název: | Controlling of pension fund investment by using Bellman´s optimality principle |
|---|---|
| Autor: | Šimandl, M. ; Lešek, M. |
| Jazyk publikace: | anglicky |
| Datum vydání: | 7.10.2003 |
| Rok vydání: | 2003 |
| Typ publikace: | Stať ve sborníku |
| Název časopisu / knihy: | Control Systems Design ´03 |
| Strana: | 1 - 6 |
| Nakladatel: | IFAC |
| Místo vydání: | Bratislava |
| Datum: | 7.10.2003 - 10.10.2003 |
/ /
Klíčová slova
pension fund, mathematical modeling, Bellmans optimal principle
BibTeX
@INPROCEEDINGS{SimandlM_2003_Controllingof,
author = {\v{S}imandl, M. and Le\v{s}ek, M.},
title = {Controlling of pension fund investment by using Bellman?s optimality principle},
year = {2003},
publisher = {IFAC},
journal = {Control Systems Design ?03},
address = {Bratislava},
pages = {1-6},
url = {http://www.kky.zcu.cz/en/publications/SimandlM_2003_Controllingof},
}