Show simple item record

dc.contributor.authorShirazi, Mohammad 13:10:56 (GMT) 13:10:56 (GMT)
dc.description.abstractWe introduce a new approach for optimizing neural networks (NN) using data to solve a stochastic control problem with stochastic constraints. We utilize customized activation functions for the output layers of the NN, enabling training through standard unconstrained optimization techniques. The resulting optimal solution provides a strategy for allocating and withdrawing assets over multiple periods for an individual with a defined contribution (DC) pension plan. The objective function of the control problem focuses on minimizing left-tail risk by considering expected withdrawals (EW) and expected shortfall (ES). Stochastic bound constraints ensure a minimum yearly withdrawal. By comparing our data-driven approach with the numerical results obtained from a computational framework based on the Hamilton-Jacobi-Bellman (HJB) Partial Differential Equation (PDE), we demonstrate that our method is capable of learning a solution that is close to optimal. We show that the proposed framework is capable of incorporating additional stochastic processes, particularly in cases related to the use of tontines. We illustrate the benefits of using tontines for the decumulation problem and quantify the decrease in risk they bring. We also extend the framework to use more assets and provide test results to show the robustness of the control.en
dc.publisherUniversity of Waterlooen
dc.subjectportfolio decumulationen
dc.subjectportfolio optimizationen
dc.subjectstochastic controlen
dc.subjectneural networken
dc.subjectmachine learningen
dc.subjectretirement problemen
dc.subjectpension risken
dc.titleOptimal Decumulation for Retirees using Tontines: a Dynamic Neural Network Based Approachen
dc.typeMaster Thesisen
dc.pendingfalse Scienceen Scienceen of Waterlooen
uws-etd.degreeMaster of Mathematicsen
uws.contributor.advisorLi, Yuying
uws.contributor.advisorForsyth, Peter
uws.contributor.affiliation1Faculty of Mathematicsen

Files in this item


This item appears in the following Collection(s)

Show simple item record


University of Waterloo Library
200 University Avenue West
Waterloo, Ontario, Canada N2L 3G1
519 888 4883

All items in UWSpace are protected by copyright, with all rights reserved.

DSpace software

Service outages