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Citation

Šimandl, M. and Lešek, M. : Controlling of pension fund investment by using Bellman´s optimality principle . Control system design 2003, p. 419-424, Elsevier , Oxford, 2004.

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
Author: Šimandl, M. ; Lešek, M.
Language: English
Date of publication: 7 Sep 2003
Year: 2004
Type of publication: Papers in proceedings of reviewed conferences
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
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Keywords

pension fund, mathematical modeling, Bellmans optimal principle

BibTeX

@INPROCEEDINGS{SimandlM_2004_Controllingof_1,
 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_1},
}