1
$\begingroup$

I am currently working on a life cycle model about saving and investing for pension funds. However, I have some problems solving the model. The model runs for $T$ years over the life cycle. At every subperiod $t$, I need to find optimal values for $A$ (consumption share) and $B$ (investment weight in a risky asset). The optimal values for $A$ and $B$ need to be maximimized for the investors' utility (power utility) every year but I have to consider two sources of uncertainty:

  1. the return of the risky asset.

  2. the labor income stream.

I know that I have to generate a set of different scenarios (with a Monte Carlo simulation) and I have to discretize the total wealth in order to apply a numerical dynamic programming but I don't know how to proceed to implement the matlab optimization model.

I would be really grateful if someone is able to help me!

$\endgroup$
2

0

You must log in to answer this question.