IDEAS home Printed from https://ideas.repec.org/p/bak/wpaper/201507.html
   My bibliography  Save this paper

On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint

Author

Listed:
  • Catherine Donnelly

    () (Department of Actuarial Mathematics and Statistics, and the Maxwell Institute for Mathematical Sciences, Heriot-Watt University)

  • Montserrat Guillén

    () (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Jens Perch Nielsen

    () (Cass Business School, City University
    Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

Abstract

We analyze an investment strategy for an investor with a savings plan for retirement consisting on constraining the terminal wealth accumulated after the savings period by setting an upper and lower bound. We carry out a simulation of the terminal wealth after a savings period of thirty years by using daily, monthly, weekly and yearly updates. We calculate the percentiles of the final wealth and the corresponding lifetime annuity that the pension saver will receive during the consumption period. We observe how that the simulated values converge to the theoretical values of the percentiles when the frequency of update increases. Finally, in the numerical example the effect of inflaction is also considered.

Suggested Citation

  • Catherine Donnelly & Montserrat Guillén & Jens Perch Nielsen, 2015. "On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint," Working Papers 2015-07, Universitat de Barcelona, UB Riskcenter.
  • Handle: RePEc:bak:wpaper:201507
    as

    Download full text from publisher

    File URL: http://www.ub.edu/rfa/research/WP/UBriskcenterWP201507.pdf
    File Function: First version, 2015
    Download Restriction: no

    References listed on IDEAS

    as
    1. Beshears, John & Choi, James J. & Laibson, David & Madrian, Brigitte C. & Zeldes, Stephen P., 2014. "What makes annuitization more appealing?," Journal of Public Economics, Elsevier, vol. 116(C), pages 2-16.
    2. Michael E. Drew & Anup Basu & Alistair Byrnes, 2009. "Dynamic Lifecycle Strategies for Target Date Retirement Funds," Discussion Papers in Finance finance:200902, Griffith University, Department of Accounting, Finance and Economics.
    3. Basak, Suleyman, 1995. "A General Equilibrium Model of Portfolio Insurance," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1059-1090.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Manuela Alcañiz & Aïda Solé-Auró, 2018. "Ageing and health-related quality of life: evidence from Catalonia (Spain)," Working Papers 2018-01, Universitat de Barcelona, UB Riskcenter.

    More about this item

    Keywords

    retirement; pension; smoothing; saving strategies; investment.;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bak:wpaper:201507. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Montserrat Guillen). General contact details of provider: http://edirc.repec.org/data/rskubes.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.