Publications
Detail of publication
Citation
p. 419-424, Elsevier , Oxford, 2004. : Controlling of pension fund investment by using Bellman´s optimality principle . Control system design 2003,
Abstract
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 of publication
Title: | Controlling of pension fund investment by using Bellman´s optimality principle |
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Author: | Šimandl, M. ; Lešek, M. |
Language: | English |
Date of publication: | 7 Sep 2003 |
Year: | 2004 |
Type of publication: | Book Chapters |
Title of journal or book: | Control system design 2003 |
Page: | 419 - 424 |
ISBN: | 0-08-044175-0 |
Publisher: | Elsevier |
Address: | Oxford |
Date: | 7 Sep 2003 - 10 Sep 2003 |
Keywords
pension fund, mathematical modeling, Bellmans optimal principle
BibTeX
@INBOOK{SimandlM_2004_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 = {2004}, publisher = {Elsevier }, journal = {Control system design 2003}, address = {Oxford}, pages = {419-424}, ISBN = {0-08-044175-0}, url = {http://www.kky.zcu.cz/en/publications/SimandlM_2004_Controllingof}, }