Controlling of pension fund investment by using Bellman´s optimality principle

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F03%3A00000022" target="_blank" >RIV/49777513:23520/03:00000022 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Controlling of pension fund investment by using Bellman´s optimality principle

Original language description

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.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BC - Theory and management systems

OECD FORD branch

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Project

<a href="/en/project/GA102%2F01%2F0021" target="_blank" >GA102/01/0021: Nonlinear estimation and change detection for stochastic systems</a><br>

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Control Systems Design ´03

ISBN

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ISSN

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e-ISSN

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Number of pages

6

Pages from-to

1-6

Publisher name

IFAC

Place of publication

Bratislava

Event location

Bratislava

Event date

Oct 7, 2003

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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