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dc.contributor.authorBoda, Kang
dc.contributor.authorFilar, Jerzy A
dc.contributor.authorLin, Yuanlie
dc.contributor.authorSpanjers, Lieneke
dc.date.accessioned2012-09-14T04:47:45Z
dc.date.available2012-09-14T04:47:45Z
dc.date.issued2004
dc.identifier.citationBoda, 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.en
dc.identifier.issn0018-9286
dc.identifier.urihttp://hdl.handle.net/2328/26294
dc.description.abstractWe 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.en
dc.language.isoen
dc.publisherInstitute of Electrical and Electronic Engineersen
dc.subjectMathematicsen
dc.subjectStochastic Modellingen
dc.subjectMarkov Decision Processesen
dc.titleStochastic target hitting time and the problem of early retirementen
dc.typeArticleen
dc.rights.licenseIn Copyright


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