Less is more: increasing retirement gains by using an upside terminal wealth constraint

DOI10.1016/J.INSMATHECO.2015.06.003MaRDI QIDQ495482zbMATH OpenOpenAlexFDO

Authors Catherine Donnelly, Russell Gerrard, Jens Perch Nielsen, Montserrat Guillen

Publication date 14 September 2015

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://openaccess.city.ac.uk/id/eprint/12177/1/main.pdf

zbMATH Keywords

portfolio optimizationstochastic controlretirement planningretirement wealth distributionsavings plan

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Consumption-Investment Models with Constraints
• Continuous-time portfolio optimization under terminal wealth constraints
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Optimal control under stochastic target constraints
• Optimal portfolio selection for general provisioning and terminal wealth problems
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Performance measurement of pension strategies: a case study of Danish life-cycle products
• Portfolio insurance under a risk-measure constraint
• Preferred by ``all and preferred by ``most decision makers: almost stochastic dominance
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Risk aversion or myopia? Choices in repeated gambles and retirement investments
• Utility Maximization Under Bounded Expected Loss

Cited in

(9)

• Management of portfolio depletion risk through optimal life cycle asset allocation
• Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
• A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
• Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
• Money illusion in retirement savings with a minimum guarantee
• The effect of objective formulation on retirement decision making
• IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
• More for less insurance model: an alternative to (re)insurance
• Expected utility approximation and portfolio optimisation

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