Related papers: Deep neural network for optimal retirement consump…
Predicting future consumer behaviour is one of the most challenging problems for large scale retail firms. Accurate prediction of consumer purchase pattern enables better inventory planning and efficient personalized marketing strategies.…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
Accurate prediction of long-term electricity demand has a significant role in demand side management and electricity network planning and operation. Demand over-estimation results in over-investment in network assets, driving up the…
Motivated by the current global high inflation scenario, we aim to discover a dynamic multi-period allocation strategy to optimally outperform a passive benchmark while adhering to a bounded leverage limit. To this end, we formulate an…
In recent years, deep learning has been connected with optimal control as a way to define a notion of a continuous underlying learning problem. In this view, neural networks can be interpreted as a discretization of a parametric Ordinary…
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into…
The traditional approach to network robustness, is based on comparing network parameters before and after an event of nodes removal, such as the change in network diameter, the change in giant component size and the existence of giant…
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended)…
This article investigates retirement decumulation behaviours using the Grouped Fixed-Effects (GFE) estimator applied to Australian panel data on drawdowns from phased withdrawal retirement income products. Behaviours exhibited by the…
Propose a deep learning driven multi factor investment model optimization method for risk control. By constructing a deep learning model based on Long Short Term Memory (LSTM) and combining it with a multi factor investment model, we…
We study the optimal investment-consumption problem for a member of defined contribution plan during the decumulation phase. For a fixed annuitization time, to achieve higher final annuity, we consider a variable consumption rate. Moreover,…
In this paper I extend the work of Bernhardt and Donnelly (2019) dealing with modern explicit tontines, as a way of providing income under a specified bequest motive, from a defined contribution pension pot. A key feature of the present…
In this paper, we propose an efficient implementation of deep policy gradient method (PGM) for optimal control problems in continuous time. The proposed method has the ability to manage the allocation of computational resources, number of…
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…
For the assessment of the financial soundness of a pension fund, it is necessary to take into account mortality forecasting so that longevity risk is consistently incorporated into future cash flows. In this article, we employ machine…
Energy storage devices represent environmentally friendly candidates to cope with volatile renewable energy generation. Motivated by the increase in privately owned storage systems, this paper studies the problem of real-time control of a…
Cognition in midlife is an important predictor of age-related mental decline and statistical models that predict cognitive performance can be useful for predicting decline. However, existing models struggle to capture complex relationships…
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial…