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q-fin.CP2020
A Stochastic Control Approach to Defined Contribution Plan Decumulation: "The Nastiest, Hardest Problem in Finance"
Peter A. Forsyth
We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset all…
q-fin.CP2020
Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target
Chendi Ni, Yuying Li, Peter Forsyth +1
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic t…