PhD Project: Long-term decision making under uncertainty for sustainable life-cycle retirement management
Life-cycle retirement funds require long-term adaptive investment decisions to meet the consumption targets of retirees over time. Several dynamic variables can affect the financial needs of retirees over time, such as health condition or house prices among many others. Stochastic optimization methods can help retirees mitigate risk over time, through optimal dynamic purchase of annuity, health insurance, and/or reverse mortgage for example. For public and private retirement funds, these tool can help to understand the financial decisions of retirees, and assess their long term sustainability. This project will consist in setting up efficient and time-consistent simulation-based computational method for solving such long-term stochastic optimisation problem with social discounting, with key dynamic information and sustainable targets taken into account.
Keywords: Stochastic control, long-term portfolio allocation, life-cycle, behavioural finance
Applications can be made by selecting the below link.
Please attach supporting documentation including a covering letter outlining why you would like to undertake the PhD project and a current CV including 2 referees. Please note that more than one application can be made if you wish to be considered for more than one PhD project.