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Showing 1 to 1 of 1 for “"Sthocastic optimal control"”.
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A quantitative model for the asset liability management of a Pension Fund
… quantitative method (mainly based on stochastic optimal control theory) to determine the optimal investment policy of a pension fund’s wealth, under financial and actuarial risks. The thesis unfolds as follows: Chapter 1 includes a basic introduction to pension systems. The topics addressed here …