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

Tolulope Latunde; Opeyemi Odunayo Esan; Joseph Oluwaseun Richard; Damilola Deborah Dare

doi:10.46481/jnsps.2020.22

Authors

Tolulope Latunde
tolulope.latunde@fuoye.edu.ng
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

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