A Parallel Monte Carlo Algorithm for the Life Cycle Asset Allocation Problem
Abstract
1. Introduction
2. Materials and Methods
2.1. Life Cycle Asset Allocation Model
2.1.1. Utility Function Selection
2.1.2. Financial Asset
2.1.3. Labor Income Patterns in China: Insights from the China General Social Survey (CGSS)
2.1.4. Optimization Problem
- (1)
- Before maturity of the product:
- (2)
- Obtain the Bellman equation:
2.2. Description of Monte Carlo-Based Algorithm for Solving the Bellman Equation
Algorithm 1: Monte Carlo Method for Solving the Bellman Equation |
5: For do , while for , for . do 11: end for 15: end for |
3. Results
3.1. Glide Path
3.2. Parallel Monte Carlo
4. Discussion
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
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Parameter | Value |
---|---|
0.04 | |
0.2 | |
5.0 | |
0.2 | |
0.96 | |
20 | |
65 | |
T | 120 |
0.99 |
Server | Parameters |
---|---|
Nodes | AMD EPYC 7773X 64-Core Processor |
Operating | Centos7.6 |
MPI | hpcx-2.4.1 |
Network | HDR Infiniband (200 Gb) |
Thread Number | Computing Time (min) | |
---|---|---|
Value Iteration Method | 1 | 41.15 |
Our Method (Proposed) | 1 | 29.88 |
2 | 15.74 | |
4 | 8.06 | |
8 | 4.17 | |
16 | 2.69 | |
32 | 1.42 |
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Yang, X.; Li, C.; Li, X.; Lu, Z. A Parallel Monte Carlo Algorithm for the Life Cycle Asset Allocation Problem. Appl. Sci. 2024, 14, 10372. https://doi.org/10.3390/app142210372
Yang X, Li C, Li X, Lu Z. A Parallel Monte Carlo Algorithm for the Life Cycle Asset Allocation Problem. Applied Sciences. 2024; 14(22):10372. https://doi.org/10.3390/app142210372
Chicago/Turabian StyleYang, Xueying, Chen Li, Xu Li, and Zhonghua Lu. 2024. "A Parallel Monte Carlo Algorithm for the Life Cycle Asset Allocation Problem" Applied Sciences 14, no. 22: 10372. https://doi.org/10.3390/app142210372
APA StyleYang, X., Li, C., Li, X., & Lu, Z. (2024). A Parallel Monte Carlo Algorithm for the Life Cycle Asset Allocation Problem. Applied Sciences, 14(22), 10372. https://doi.org/10.3390/app142210372