haku: @indexterm ALLOCATION / yhteensä: 247
viite: 119 / 247
| Tekijä: | Milevsky, M. A. Ho, K. Robinson, C. |
| Otsikko: | Asset allocation via the conditional first exit time or how to avoid outliving your money |
| Lehti: | Review of Quantitative Finance and Accounting
1997 : JUL, VOL. 9:1, p. 53-70 |
| Asiasana: | ASSETS ALLOCATION RISK RETIREMENT PLANNING |
| Kieli: | eng |
| Tiivistelmä: | This paper develops a rigorous model to answer the question how should a retiree allocate investment assets in order to minimize the risk of shortfall in consumption. The model incorporates the mortality tables, gender of the retiree, desired consumption to invested wealth ratio and rates of return and standard deviation. Consumption is endogenized, because a person can choose to change the risk of shortfall by changing the amount consumed from wealth each year. The asset allocation literature has ignored these factors but this paper found them very significant , using a simulation with reasonable values. |
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