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Conditional shortfall risk of lifetime consumption

Author

Listed:
  • Tom Anichini

    (Guidedchoice.com, Inc.)

  • Jim Grabot

    (Guidedchoice.com, Inc.)

  • Sherrie Grabot

    (Guidedchoice.com, Inc.)

  • Ming Yee Wang

    (Guidedchoice.com, Inc.)

  • Ganlin Xu

    (Guidedchoice.com, Inc.)

  • Louis Zijl

    (Guidedchoice.com, Inc.)

Abstract

This paper explores options to generate Markowitz efficient frontiers, from which a suitable portfolio is recommended to retirees. The risk measures of these options are the standard deviations of asset returns, variance of normalized present values of discounted consumption, shortfall risk, and conditional shortfall risk, or the combinations of them. We report the shortfall risk and conditional shortfall risk for all these efficient portfolios.

Suggested Citation

  • Tom Anichini & Jim Grabot & Sherrie Grabot & Ming Yee Wang & Ganlin Xu & Louis Zijl, 2025. "Conditional shortfall risk of lifetime consumption," Annals of Operations Research, Springer, vol. 346(1), pages 623-644, March.
    • Handle: RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06316-7
    DOI: 10.1007/s10479-024-06316-7
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    References listed on IDEAS

    as
    1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    2. Pierre-Olivier Gourinchas & Jonathan A. Parker, 2002. "Consumption Over the Life Cycle," Econometrica, Econometric Society, vol. 70(1), pages 47-89, January.
    3. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    4. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-317, June.
    5. Paul A. Samuelson, 1937. "A Note on Measurement of Utility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 4(2), pages 155-161.
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    More about this item

    Keywords

    Mean–variance efficient frontier; Value-at-risk; Conditional value-at-risk; Intertemporal consumption; Shortfall risk; Conditional shortfall risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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