Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/120166
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Donnelly, Catherine | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Nielsen, Jens Perch | - |
dc.contributor.author | Pérez Marín, Ana María | - |
dc.date.accessioned | 2018-02-23T11:02:14Z | - |
dc.date.available | 2018-02-23T11:02:14Z | - |
dc.date.issued | 2018 | - |
dc.identifier.issn | 0515-0361 | - |
dc.identifier.uri | http://hdl.handle.net/2445/120166 | - |
dc.description.abstract | We present a savings plan for retirement that removes risk by fixing a constraint on a life-long pension so that it has an upper and a lower bound. This corresponds to the ideas of Nobel laureate R.C. Merton whose implementation has never been published. We show with an illustration that our proposed practical algorithm reproduces the theoretical results after a savings period of around 30 years by using daily, monthly, weekly or yearly updates of the investment positions. We calculate the percentiles of the final accumulated wealth distribution for the adjusted implementation. In the simulated illustration, we observe that the adjusted values converge to the theoretical values of the percentiles when the frequency of update increases. We conclude that monthly adjustments result in a practical way to implement theoretical results that were obtained under the hypothesis of a continuous process by Donnelly et al. (2015). This method is easy to use in practice by pension savers and fund managers. | - |
dc.format.extent | 27 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Cambridge University Press | - |
dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.1017/asb.2017.34 | - |
dc.relation.ispartof | ASTIN Bulletin , 2018, vol. 48, num. 1, p. 111-137 | - |
dc.relation.uri | https://doi.org/10.1017/asb.2017.34 | - |
dc.rights | (c) International Actuarial Association, 2018 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Estalvi | - |
dc.subject.classification | Jubilació | - |
dc.subject.classification | Plans de pensions | - |
dc.subject.classification | Anàlisi financera | - |
dc.subject.other | Saving | - |
dc.subject.other | Retirement | - |
dc.subject.other | Pension trusts | - |
dc.subject.other | Investment analysis | - |
dc.title | Implementing individual savings decisions for retirement with bounds on wealth | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 676950 | - |
dc.date.updated | 2018-02-23T11:02:15Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
676950.pdf | 396.81 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.