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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 Nielsen, Jens Perch |
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: | [WP E-RC15/02] |
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 |
Files in This Item:
File | Description | Size | Format | |
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Risk15-02_Donnelly02.pdf | 1.15 MB | Adobe PDF | View/Open |
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