Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries
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...
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| Format: | Article |
| Language: | English |
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Nigerian Society of Physical Sciences
2020-01-01
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| Series: | Journal of Nigerian Society of Physical Sciences |
| Subjects: | |
| Online Access: | https://journal.nsps.org.ng/index.php/jnsps/article/view/22 |
| _version_ | 1828215880107950080 |
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| author | Tolulope Latunde Opeyemi Odunayo Esan Joseph Oluwaseun Richard Damilola Deborah Dare |
| author_facet | Tolulope Latunde Opeyemi Odunayo Esan Joseph Oluwaseun Richard Damilola Deborah Dare |
| author_sort | Tolulope Latunde |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-12T15:25:12Z |
| format | Article |
| id | doaj.art-a9b4c7ce80bb45edbbd3119afc720d9b |
| institution | Directory Open Access Journal |
| issn | 2714-2817 2714-4704 |
| language | English |
| last_indexed | 2024-04-12T15:25:12Z |
| publishDate | 2020-01-01 |
| publisher | Nigerian Society of Physical Sciences |
| record_format | Article |
| series | Journal of Nigerian Society of Physical Sciences |
| spelling | doaj.art-a9b4c7ce80bb45edbbd3119afc720d9b2022-12-22T03:27:17ZengNigerian Society of Physical SciencesJournal of Nigerian Society of Physical Sciences2714-28172714-47042020-01-012110.46481/jnsps.2020.22Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income CountriesTolulope Latunde0Opeyemi Odunayo Esan1Joseph Oluwaseun Richard2Damilola Deborah Dare3Federal University Oye-EkitiDepartment of Mathematics, Federal University Oye-EkitiDepartment of Mathematics, Federal University Oye-EkitiDepartment of Mathematics, Federal University Oye-EkitiOne 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.https://journal.nsps.org.ng/index.php/jnsps/article/view/22Pensionstochasticcontrolrisky assetparameters |
| spellingShingle | Tolulope Latunde Opeyemi Odunayo Esan Joseph Oluwaseun Richard Damilola Deborah Dare Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries Journal of Nigerian Society of Physical Sciences Pension stochastic control risky asset parameters |
| title | Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries |
| title_full | Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries |
| title_fullStr | Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries |
| title_full_unstemmed | Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries |
| title_short | Analysis of a Stochastic Optimal Control for Pension Funds and Application to Investments in Lower Middle-Income Countries |
| title_sort | analysis of a stochastic optimal control for pension funds and application to investments in lower middle income countries |
| topic | Pension stochastic control risky asset parameters |
| url | https://journal.nsps.org.ng/index.php/jnsps/article/view/22 |
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