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Optimal annuitization with labor income under age-dependent force of mortality
Cody Hyndman / Criscent Birungi
optimizationResource overview

Optimal annuitization with labor income under age-dependent force of mortality

Paper2025

by Cody Hyndman, Criscent Birungi

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optimization

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Suggested foundations for optimisation and numerical methods and portfolio construction. Specialist prerequisites vary by paper.

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  1. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

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  1. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

  2. Numerical Conditioning and Stability

    Separate model error from unstable numerical computation.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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