Optimal Retirement And Portfolio Selection With Consumption Ratcheting
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| Author | : Junkee Jeon |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
The purpose of this paper is to study the optimal retirement and consumption/investment decisions of an infinitely lived agent who does not tolerate any decline in his/her consumption throughout his/her lifetime. The agent receives labor income but suffers disutility from working until retirement. The agent's optimization problem combines features of both singular control and optimal stopping. We use the martingale method and study the dual problem, which can be decoupled into a singular control problem and an optimal stopping problem. We provide a closed-form solution of the optimal strategies for the von-Neumann-Morgenstern utility function. We show that the coefficient of relative risk aversion implied by the optimal portfolio (i.e., the implied coefficient of relative risk aversion, ICRRA) is a constant value smaller than 1. Moreover, we show that the ICRRA is independent of the agent's felicity utility function and depends only on the subjective discount rate and market parameters.
| Author | : Zvi Bodie |
| Publisher | : |
| Total Pages | : 182 |
| Release | : 2004 |
| Genre | : Consumption (Economics) |
| ISBN | : |
| Author | : Michael J Zwecher |
| Publisher | : Wiley + ORM |
| Total Pages | : 246 |
| Release | : 2010-01-21 |
| Genre | : Business & Economics |
| ISBN | : 0470585625 |
A “very practical” guide for finance professionals on creating and managing retirement portfolios (Journal of Pensions, Economics and Finance). Retirement is one of the most important parts of the financial planning process, yet only two percent of financial advisors describe themselves as competent at it. But the demand is only growing as baby boomers move toward this new phase of life. It is imperative that financial advisors be equipped and ready. That's why Michael Zwecher—a leading expert on retirement income—has created Retirement Portfolios, which: Examines how portfolios should be prepped in advance so that the transition from “working” portfolio to retirement portfolio is smooth and seamless Outlines how to create a portfolio that will provide income, continue to generate growth, and protect assets from disaster Details the differences in managing a retirement portfolio versus managing portfolios during asset accumulation years The ability to create appropriate retirement portfolios and manage their risks are skills you must possess to be an effective financial advisor. Retirement Portfolios will help you develop these essential skills and gain a better understanding of the entire process.
| Author | : Emmanuel Farhi |
| Publisher | : |
| Total Pages | : 67 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
| Author | : Stephen M. Horan |
| Publisher | : John Wiley & Sons |
| Total Pages | : 578 |
| Release | : 2009-01-09 |
| Genre | : Business & Economics |
| ISBN | : 0470381132 |
An in-depth examination of today's most important wealth management issues Managing the assets of high-net-worth individuals has become a core business specialty for investment and financial advisors worldwide. Keeping abreast of the latest research in this field is paramount. That's why Private Wealth, the inaugural offering in the CFA Institute Investment Perspectives series has been created. As a sister series to the globally successful CFA Institute Investment Series, CFA Institute and John Wiley are proud to offer this new collection. Private Wealth presents the latest information on lifecycle modeling, asset allocation, investment management for taxable private investors, and much more. Researched and written by leading academics and practitioners, including Roger Ibbotson of Yale University and Zvi Bodie of Boston University, this volume covers human capital and mortality risk in life cycle stages and proposes a life-cycle model for life transitions. It also addresses complex tax matters and provides details on customizing investment theory applications to the taxable investor. Finally, this reliable resource analyzes the use of tax-deferred investment accounts as a means for wealth accumulation and presents a useful framework for various tax environments.
| Author | : Lionel Martellini |
| Publisher | : Cambridge University Press |
| Total Pages | : 158 |
| Release | : 2020-09-10 |
| Genre | : Business & Economics |
| ISBN | : 1108912141 |
To supplement replacement income provided by Social Security and employersponsored pension plans, individuals need to rely on their own saving and investment choices during accumulation. Once retired, they must also decide at which rate to spend their savings, with the usual dilemma between present and future consumption in mind. This Element explains how financial engineering and risk management techniques can help them in these complex decisions. First, it introduces 'retirement bonds', or retirement bond replicating portfolios, that provide stable and predictable replacement income during the decumulation period. Second, it describes investment strategies that combine the retirement bond with an efficient performanceseeking portfolio so as to reduce uncertainty over the future amount of income while offering upside potential. Finally, strategies using risk insurance techniques are proposed to secure minimum levels of replacement income while giving the possibility of reaching higher levels of income.
| Author | : Wolfram J. Horneff |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 2007 |
| Genre | : Retirees |
| ISBN | : |
Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial wealth and annuities, and we prove that she can benefit from both the equity premium and longevity insurance in her retirement portfolio. Even without bequests, she will not fully annuitize; rather, her optimal stock allocation amounts initially to more than half of her financial wealth and declines with age. Welfare gains from this strategy can amount to 40 percent of financial wealth (depending on risk parameters and other resources). In practice, it turns out that many retirees will do almost as well by purchasing a variable annuity invested 60/40 in stocks/bonds.
| Author | : Paul Merriman |
| Publisher | : John Wiley & Sons |
| Total Pages | : 256 |
| Release | : 2005-05-06 |
| Genre | : Business & Economics |
| ISBN | : 047173179X |
Live It Up without Outliving Your Money! "Paul Merriman's new book is a rich and meaty guide to achieving real retirement security. It's full of wise, easy-to-follow advice that will stand the test of time." --Knight Kiplinger, Editor in Chief, Kiplinger's Personal Finance Magazine and The Kiplinger Letter "Read, Live It Up! Not only does Paul Merriman know the secret to making your money work as hard as you do, he loves helping people achieve their goals and dreams." -Paul B. Farrell, author of The Millionaire Code, The Winning Portfolio and The Lazy Person's Guide to Investing An educational and motivational guide to retiring without running out of money No one understands this better than Paul Merriman. For four decades, Merriman has helped and watched people manage their money--both before and during retirement. Now, in Live It Up without Outliving Your Money!, Merriman distills what he has learned into a sound, time-tested approach to creating a portfolio that will fulfill your unique retirement needs. Based on Merriman's popular retirement workshops, Live It Up without Outliving Your Money! offers ten straightforward steps to creating and maintaining the perfect retirement portfolio. From determining how much you will need to live on after retirement to recognizing and controlling the expenses of investing, the easy-to-understand strategies outlined within these pages can help you regain confidence in your retirement plan. Stay current! visit www.wiley.com/go/paulmerriman
| Author | : Larry Selden |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 1977 |
| Genre | : Economics |
| ISBN | : |
| Author | : Andrew Ang |
| Publisher | : Oxford University Press |
| Total Pages | : 717 |
| Release | : 2014-07-07 |
| Genre | : Business & Economics |
| ISBN | : 019938231X |
In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.
