STOCHASTIC OPTIMAL CONTROL OF INVESTMENT POLICY

摘要

The purpose of this paper is to apply stochastic optimal control theory to find an optimal investment policy before and after retirement in a defined contribution pension plan where benefits are paid under the form of annuities. Using Hamilton-Jacobi method we find explicit solution to quadratic utility function and tried at different strategies before retirement that is in the investment part and after retirement that is in the payment part.