Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/97861
Title: Less is more: increasing retirement gains by using an upside terminal wealth constraint
Author: Donnelly, Catherine
Gerrard, Russell
Guillén, Montserrat
Perch Nielsen, Jens
Keywords: Estalvi
Jubilació
Plans de pensions
Anàlisi financera
Saving
Retirement
Pension trusts
Investment analysis
Issue Date: 2015
Publisher: Universitat de Barcelona. Riskcenter
Series/Report no: 2015/02
Abstract: We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By constraining the investor to have no more than the target wealth at retirement, we find that the lower quartiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth are eliminated.
Note: Reproducció del document publicat a: http://www.ub.edu/riskcenter/research/WP/UBriskcenterWP201502.pdf
It is part of: UB Riskcenter Working Paper Series, 2015/02
URI: http://hdl.handle.net/2445/97861
Appears in Collections:UB RISKCENTER – Working Papers Series

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