RT info:eu-repo/semantics/bachelorThesis
T1 Optimal management of a stochastic pension plan
A1 Varona Gómez, Maria
A2 Universidad de Valladolid. Facultad de Ciencias
K1 Pension plan
K1 Dynamic programming
K1 Stochastic optimal control
AB This paper analyzes the optimal management of a pension plan from the point of viewof dynamic programming. The pension plan is defined benefit and stochastic. The aimof the manager is to find the fund's optimal contribution and investment strategies in away that minimizes a financial risk.The problem is modeled as one of stochastic optimal control. It shows how to find theoptimal strategies using dynamic programming techniques when both, benefits andrisky assets are geometric Brownian movements.By means of a numerical analysis based on real data from pension funds andcontributions from the IBEX 35 index, the evolution of the pension plan is studied andsensitivity analyses are carried out with respect to model parameters using the Renvironment.
YR 2020
FD 2020
LK http://uvadoc.uva.es/handle/10324/43773
UL http://uvadoc.uva.es/handle/10324/43773
LA eng
DS UVaDOC
RD 23-nov-2024