Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/97867
Title: On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint
Author: Donnelly, Catherine
Guillén, Montserrat
Perch Nielsen, Jens
Pérez Marín, Ana María
Keywords: Estalvi
Jubilació
Plans de pensions
Anàlisi financera
Saving
Retirement
Pension trusts
Investment analysis
Issue Date: 2015
Publisher: Universitat de Barcelona. Riskcenter
Abstract: We analyze an investment strategy for an investor with a savings plan for retirement consisting on constraining the terminal wealth accumulated after the savings period by setting an upper and lower bound. We carry out a simulation of the terminal wealth after a savings period of thirty years by using daily, monthly, weekly and yearly updates. We calculate the percentiles of the final wealth and the corresponding lifetime annuity that the pension saver will receive during the consumption period. We observe how that the simulated values converge to the theoretical values of the percentiles when the frequency of update increases. Finally, in the numerical example the effect of inflaction is also considered.
Note: Reproducció del document publicat a: http://www.ub.edu/riskcenter/research/WP/UBriskcenterWP201507.pdf
It is part of: UB Riskcenter Working Paper Series, 2015/07
URI: http://hdl.handle.net/2445/97867
Appears in Collections:UB RISKCENTER – Working Papers Series

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