Workshop: Optimization and Optimal Control
Time: Thu, October 23, 2008, 16:20-17:10
Speaker: Fausto Gozzi
Abstract
In this talk we present a work done with M. Di Giacinto (Università di Cassino - Italy) and Salvatore Federico (Scuola Normale - Pisa - Italy).
The subject of the work is a continuous time stochastic model of optimal allocation for a de fined contribution pension fund with a minimum guarantee. We adopt the point of view of a fund manager maximizing the expected utility from the fund wealth over an infi nite horizon.
The level of wealth is constrained to stay above a "solvency level".
The model is naturally formulated as an optimal control problem of a stochastic delay equation with state constraints and is treated by the dynamic programming approach.
We first present the study in the simplified case of no delay where a satisfactory theory can be built proving the existence of regular feedback control strategies and then go to the more general case showing some first results on the value function and on its properties.
Presentation slides (pdf, 274 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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