Income drawdown option with minimum guarantee

Marina Di Giacinto, Salvatore Federico (), Fausto Gozzi and Elena Vigna

European Journal of Operational Research, 2014, vol. 234, issue 3, 610-624

Abstract: This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

Keywords: Pension fund; Decumulation phase; Constrained portfolio; Stochastic optimal control; Dynamic programming; Hamilton–Jacobi–Bellman equation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (15)

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Working Paper: Income drawdown option with minimum guarantee (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:234:y:2014:i:3:p:610-624

DOI: 10.1016/j.ejor.2013.10.026

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