Conditional shortfall risk of lifetime consumption

IF 4.4 3区管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE

Annals of Operations Research Pub Date : 2024-10-25 DOI:10.1007/s10479-024-06316-7

Tom Anichini, Jim Grabot, Sherrie Grabot, Ming Yee Wang, Ganlin Xu, Louis van Zijl

引用次数: 0

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.

查看原文本刊更多论文

本文探讨了生成马科维茨有效前沿的备选方案，并据此向退休人员推荐合适的投资组合。这些方案的风险度量是资产收益的标准差、贴现消费的归一化现值方差、亏空风险和条件性亏空风险，或它们的组合。我们报告了所有这些有效投资组合的短缺风险和条件短缺风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Annals of Operations Research 管理科学-运筹学与管理科学

CiteScore

7.90

自引率

16.70%

发文量

596

审稿时长

8.4 months

期刊介绍： The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.