dc.contributor.author
Donnelly, Catherine
dc.contributor.author
Gerrard, Russell
dc.contributor.author
Guillén, Montserrat
dc.contributor.author
Nielsen, Jens Perch
dc.date.issued
2016-04-26T07:02:48Z
dc.date.issued
2016-04-26T07:02:48Z
dc.identifier
https://hdl.handle.net/2445/97861
dc.description.abstract
We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement. By constraining the investor to have no more than the target wealth at retirement, we find that the lower quartiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth are eliminated.
dc.format
application/pdf
dc.publisher
Universitat de Barcelona. Riskcenter
dc.relation
Reproducció del document publicat a: http://www.ub.edu/riskcenter/research/WP/UBriskcenterWP201502.pdf
dc.relation
UB Riskcenter Working Paper Series, 2015/02
dc.relation
[WP E-RC15/02]
dc.rights
cc-by-nc-nd, (c) Donnelly et al., 2015
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
UB RISKCENTER – Working Papers Series
dc.subject
Plans de pensions
dc.subject
Anàlisi financera
dc.subject
Pension trusts
dc.subject
Investment analysis
dc.title
Less is more: increasing retirement gains by using an upside terminal wealth constraint
dc.type
info:eu-repo/semantics/workingPaper
