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Title: On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint
Author: Donnelly, Catherine
Guillén, Montserrat
Nielsen, Jens Perch
Pérez Marín, Ana María
Keywords: Estalvi
Plans de pensions
Anàlisi financera
Pension trusts
Investment analysis
Issue Date: 2015
Publisher: Universitat de Barcelona. Riskcenter
Series/Report no: [WP E-RC15/07]
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:
It is part of: UB Riskcenter Working Paper Series, 2015/07
Appears in Collections:UB RISKCENTER – Working Papers Series

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