The Optimal Strategy to Research Pension Funds in China Based on the Loss Function
- Publisher: Ubiquity Press
Data Science Journal
(issn: 1683-1470, eissn: 1683-1470)
Pension funds | Stochastic optimal control | Loss function | Actuarial present value; Pension funds; Fund growth strategy; Investment strategy; Stochastic optimal control; Loss function; Hamilton-Jacobi-Bellman equation | Fund growth strategy | Investment strategy | Science (General) | Q1-390 | Actuarial present value | Hamilton-Jacobi-Bellman equation
Based on the theory of actuarial present value, a pension fund investment goal can be formulated as an objective function. The mean-variance model is extended by defining the objective loss function. Furthermore, using the theory of stochastic optimal control, an optima...