Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries

Authors

  • Tolulope Latunde
    Federal University Oye-Ekiti
  • Opeyemi Odunayo Esan
    Department of Mathematics, Federal University Oye-Ekiti
  • Joseph Oluwaseun Richard
    Department of Mathematics, Federal University Oye-Ekiti
  • Damilola Deborah Dare
    Department of Mathematics, Federal University Oye-Ekiti

Keywords:

Pension, stochastic, control, risky asset, parameters

Abstract

One of the major problems faced in the management of pension funds and plan is how to allocate and control the future flow of contribution likewise the proportion of portfolio value and investments in risky assets. This work considers the management of a pension plan by means of a stochastic dynamic programming model based on Merton's model. The model is analyzed such that the conditions of optimal contribution and investment in risky assets are determined and sensitized. The case study of Nigeria, Ghana, Kenya is considered for various periods in the model simulation. Thus, the volatility condition obtained is used to estimate the efficiency of some important parameters of the model.

Dimensions

R. C. Merton Lifetime portfolio selection under uncertainty: The continuous time case", Review of Economics and Statistics, 51 (1969) 247.

R. C. Merton Optimal consumption and portfolio rules in a continuous time model", Journal of Economic Theory 42 (1971), 373.

J. F. Boulier, E. Trussant and D. Florens A dynamic model for pension funds management", Proceedings of the 5th AFIR International Colloquium, 1 (1995) 361.

B. O. Osu The price of asset-liability control under tail conditional expectation with no transaction cost." British Journal of Mathematics and Computer Science, 1 (2011) 129.

B. Carton Measuring organizational performance: an exploratory study". A dissertation submitted to the graduate faculty of the University of Georgia

(2004).

T. Latunde, O. M. Bamigbola & Y. O. Aderinto, Sensitivity of Parameters in an Optimal Control Model of the Electric Power Generating System", Ilorin Journal of Computer Science and Information Technology (ILJCSIT), 1 (2016) 54.

T. Latunde & O. M. Bamigbola, Parameter Estimation and Sensitivity Analysis of an Optimal Control Model for Capital Asset Management", Advances in Fuzzy Systems, (2018) 1. https//doi.org/10.1155/2018/4756520

T. Latunde, J. O. Richard, O. O. Esan and D. D. Dare Sensitivity of Parameters in the Approach of Linear Programming to a Transportation Problem of an optimal control model for capital asset management", Journal of the Nigerian Society of Physical Sciences, 1 (2019) 116.

M. Latkovic and I. Liker Sensitivity analysis of accumulated savings in a defined contribution pension system", Financial Theory and Practice, 33 (2000) 431.

Published

2020-01-25

How to Cite

Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries. (2020). Journal of the Nigerian Society of Physical Sciences, 2(1), 1-6. https://doi.org/10.46481/jnsps.2020.22

Issue

Volume 2, Issue 1, February 2020

Section

Original Research
Copyright & Licensing

How to Cite

Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries. (2020). Journal of the Nigerian Society of Physical Sciences, 2(1), 1-6. https://doi.org/10.46481/jnsps.2020.22

Similar Articles

81-90 of 158

You may also start an advanced similarity search for this article.

Most read articles by the same author(s)