Rule-based Strategies for Dynamic Life Cycle Investment
In this work, we consider rule-based investment strategies for managing a defined contribution saving scheme under the Dutch pension fund testing model. We found that dynamic rule-based investment can outperform traditional static strategies, by which we mean that the pensioner can achieve the target retirement income with higher probability and limit the shortfall when target is not met. In comparison with the popular dynamic programming technique, the rule-based strategy has a more stable asset allocation throughout time and avoid excessive transactions, which may be hard to explain to the investor. We also study a combined strategy of rule based target and dynamic programming in this work. Another key feature of this work is that there is no risk-free asset under our setting, instead, a matching portfolio is introduced for the investor to avoid unnecessary risk.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Dynamic investment model of the life cycle of a company under the influence of factors in a competitive environment
Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic …
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The s…
Simple Explicit Formula for Near-Optimal Stochastic Lifestyling
In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income. It…
On age-specific selection and extensive lifespan beyond menopause
Extensive post reproductive lifespan (PRLS) is observed only in a few species, such as humans or resident killer whales, and its origin is under debate. Hypotheses like mother-care and grandmother-care invoke strategies …
A Dynamic Model of Private Asset Allocation
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, cap…
model