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Portfolio Optimization for Pension Purposes: Literature Review
Journal of Economic Surveys, Volume 40, Issue 1, Page 45-72, February 2026.ABSTRACT This systematic review identifies persistent challenges and gaps in the literature on pension portfolio optimization models. We searched, selected, and critically analyzed 82 articles from three major academic databases published over the past decade to investigate the barriers to the effective implementation of these models.
Leonardo Moreira +2 more
wiley +1 more source
Journal of Applied Sciences and Environmental Management, 2020 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. In this work, optimal investment for a
T. Latunde +3 more
doaj +1 more source
"Itô's Lemma" and the Bellman equation: An applied view [PDF]
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables ...
Sennewald, Ken, Wälde, Klaus
core
On the Provision of International Public Goods in Dynamic Open Economies
Review of International Economics, Volume 34, Issue 1, Page 198-218, February 2026.ABSTRACT This study develops a dynamic two‐country model with an international public good, the stock of which positively affects the productivity of the private‐goods sectors in each country, and the evolution of the stock is determined by each country's voluntary contribution in the form of public investment. Two scenarios are examined: A cooperative
Akihiko Yanase
wiley +1 more source
"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view [PDF]
Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables ...
Sennewald, Ken, Wälde, Klaus
core
Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility [PDF]
, 2005 The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes.
Sennewald, Ken
core
Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, Volume 36, Issue 1, Page 67-98, January 2026.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley +1 more source
Journal of Applied Mathematics, 2013 This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality
Hao Chang, Xi-min Rong
doaj +1 more source
Portfolio Optimization with Asset-Liability Ratio Regulation Constraints
Complexity, 2020 This paper considers both a top regulation bound and a bottom regulation bound imposed on the asset-liability ratio at the regulatory time T to reduce risks of abnormal high-speed growth of asset price within a short period of time (or high investment ...
De-Lei Sheng, Peilong Shen
doaj +1 more source
“Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View [PDF]
Using the Hamilton-Jacobi-Bellman equation, we derive both a Keynes-Ramsey rule and a closed form solution for an optimal consumption-investment problem with labor income.
Ken Sennewald, Klaus Waelde
core