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Please use this identifier to cite or link to this item: http://hdl.handle.net/2328/26294

Title: Stochastic target hitting time and the problem of early retirement
Authors: Boda, Kang
Filar, Jerzy A
Lin, Yuanlie
Spanjers, Lieneke
Keywords: Mathematics
Stochastic Modelling
Markov Decision Processes
Issue Date: 2004
Publisher: Institute of Electrical and Electronic Engineers
Citation: Boda, K., Filar, J.A., Lin, Y. and Spanjers, L., 2004. Stochastic target hitting time and the problem of early retirement. IEEE Transactions on Automatic Control, 49(3), 409-419.
Abstract: We consider a problem of optimal control of a “retirement investment fund” over a finite time horizon with a target hitting time criteria. That is, we wish to decide, at each stage, what percentage of the current retirement fund to allocate into the limited number of investment options so that a decision maker can maximize the probability that his or her wealth exceeds a target prior to his or her retirement. We use Markov decision processes with probability criteria to model this problem and give an example based on data from certain options available in an Australian retirement fund.
URI: http://hdl.handle.net/2328/26294
ISSN: 0018-9286
Appears in Collections:Computer Science, Engineering and Mathematics - Collected Works

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