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Retirement Planning with Minimum Guarantees for Both Beneficiaries and Fund Managers
Sheng Wang / Sheung Chi Phillip Yam / Tak Kwong Wong / Zhaojie Ren
optimization / partial differential equationsResource overview

Retirement Planning with Minimum Guarantees for Both Beneficiaries and Fund Managers

Paper2026

by Sheng Wang, Sheung Chi Phillip Yam, Tak Kwong Wong, Zhaojie Ren

Tags
optimizationpartial differential equationsportfolio managementstochastic processes

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

Before you read

  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.

Go further

  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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