WITHDRAWAL SUCCESS ESTIMATION

DOI10.1142/S0219024923500140MaRDI QIDQ6182053zbMATH OpenOpenAlexFDO

Authors

Publication date 23 January 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.02994

zbMATH Keywords

annuitiesdollar cost averagingLévy alpha-stable processreturns estimationstandard and poorwithdrawal success

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Abstract: Given a geometric Levy alpha-stable wealth process, a log-Levy alpha-stable lower bound is constructed for the terminal wealth of a regular investing schedule. Using a transformation, the lower bound is applied to a schedule of withdrawals occurring after an initial investment. As a result, an upper bound is described on the probability to complete a given schedule of withdrawals. For withdrawals of a constant amount at equidistant times, necessary conditions are given on the initial investment and parameters of the wealth process such that $k$ withdrawals can be made with 95% confidence. When the initial investment is in the S&P Composite Index and $2leqkleq16$, then the initial investment must be at least $k$ times the amount of each withdrawal.

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Cited in

(1)

• Withdrawal success optimization

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