Download or read book Optimal Retirement and Portfolio Selection with Consumption Ratcheting written by Junkee Jeon and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Optimal consumption portfolio choices and retirement planning written by Zvi Bodie and published by . This book was released on 2004 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Retirement Portfolios written by Michael J Zwecher and published by Wiley + ORM. This book was released on 2010-01-21 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Private Wealth written by Stephen M. Horan and published by John Wiley & Sons. This book was released on 2009-01-09 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Saving and Investing for Early Retirement written by Emmanuel Farhi and published by . This book was released on 2004 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Optimal Consumption and Portfolio Choice written by Jialun Li and published by . This book was released on 2012 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Money in Motion written by Wolfram J. Horneff and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Optimal Consumption and Portfolio Choice for Long horizon Investors written by Luis Manuel Viceira Alguacil and published by . This book was released on 1998 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investment and Consumption Strategy for a Retiree Under Stochastic Force of Mortality written by Kanav Gupta and published by . This book was released on 2020 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: With an increase in the self-driven retirement plans during past few decades, more and more retirees are managing their retirement portfolio on their own. Therefore, they need to know the optimal amount of consumption they can afford each year, and the optimal proportion of wealth they should invest in the financial market. In this project, we study the optimization strategy proposed by Delong and Chen (2016). Their model determines the optimal consumption and investment strategy for a retiree facing (1) a minimum lifetime consumption, (2) a stochastic force of mortality following a geometric Brownian motion process, (3) an annuity income, and (4) non-exponential discounting of future income. We use a modified version of the Cox, Ingersoll, and Ross (1985) model to capture the stochastic mortality intensity of the retiree and, subsequently, determine a new optimal consumption and investment strategy using their framework. We use an expansion method to solve the classic Hamilton-Jacobi-Bellman equation by perturbing the non-exponential discounting parameter using partial differential equations.
Download or read book The Theory of Optimal Consumption and Portfolio Selection written by Larry Selden and published by . This book was released on 1977 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Portfolio Choice and Optimal Retirement Decisions for Families Over the Life Cycle written by Andreas Hubener and published by . This book was released on 2015 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption and Portfolio Choice for Retirees written by Lulu Zeng and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I solve the optimal consumption and portfolio choice problem of a retiree who is endowed with both liquid assets and pre-annuitized wealth in Social Security. The retiree faces an investment menu including an equity index, a risk-free bond, a life insurance and a variable annuity. I find that the added benefit of annuitization timing can be valuable for variable annuity. The utility loss due to the irreversibility of pre-annuitized wealth can be big, and a transition from the current pay-as-you-go Social Security system to a personal investmentbased system benefits retirees with high fraction of pre-annuitized wealth the most. Purchasing life insurance is effective in reducing the adverse effect of over-annuitization only for impatient retirees with low Elasticity of Intergenerational Substitution. Interestingly, the utility loss due to the irreversibility of a future life annuity purchase is small for the retiree.
Download or read book Asset Management written by Andrew Ang and published by Oxford University Press. This book was released on 2014-07-07 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Lifetime Consumption and Investment written by Hong Liu and published by . This book was released on 2010 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Retirement flexibility and inability to borrow against future labor income can significantly affect optimal consumption and investment. With voluntary retirement, there exists an optimal wealth-towage ratio threshold for retirement and human capital correlates negatively with the stock market even when wages have zero or slightly positive market risk exposure. Consequently, investors optimally invest more in the stock market than without retirement flexibility. Both consumption and portfolio choice jump at the endogenous retirement date. The inability to borrow limits hedging and reduces the value of labor income, the wealth-to-wage ratio threshold for retirement, and the stock investment.
Download or read book Extending Life Cycle Models of Optimal Portfolio Choice written by and published by . This book was released on 2009 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the investment universe to include not only stocks and bonds, but also survival-contingent payout annuities. We show that making labor supply endogenous raises older peoples' equity share; substantially increases work effort by the young; and markedly enhances lifetime welfare. Also, introducing annuities leads to earlier retirement and higher participation by the elderly in financial markets. Finally, if we allow for an age-dependent leisure preference parameter, this fits well with observed evidence in that it generates lower work hours and smaller equity holdings at older ages as well as sensible retirement age patterns.
Download or read book A Life cycle Analysis of Retirement Savings and Portfolio Choices written by Zhe Li (Ph. D.) and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investment Heterogeneous Consumption and Best Time for Retirement written by Hyun Jin Jang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function. The optimal heterogeneous consumption strategies for a class of non-homothetic utility maximizer are shown to consume only basic goods when the wealth is small, to consume basic goods and make savings when the wealth is intermediate, and to consume almost all in luxury goods when the wealth is large. The optimal retirement policy is shown to be both universal, in the sense that all individuals should retire at the same level of marginal utility that is determined only by income, labor cost, discount factor as well as market parameters, and not universal, in the sense that all individuals can achieve the same marginal utility with different utility and wealth. It is also shown that individuals prefer to retire as time goes by if the marginal labor cost increases faster than that of income. The main tools used in analyzing the problem are from PDE and stochastic control theory including variational inequality and dual transformation. We finally conduct the simulation analysis for the featured model parameters to investigate practical and economic implications by providing their figures.
