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Optimising Income Drawdown in the Dual Space 二元空间下的收入递减优化
RI: Retirement Decision-Making (Topic) Pub Date : 2009-08-30 DOI: 10.2139/ssrn.1456877
Paul Emms
{"title":"Optimising Income Drawdown in the Dual Space","authors":"Paul Emms","doi":"10.2139/ssrn.1456877","DOIUrl":"https://doi.org/10.2139/ssrn.1456877","url":null,"abstract":"One attractive objective for a pensioner using the income drawdown option is to minimise the deviation of the pension fund from a prescribed deterministic target. Typically, this problem is formulated as a linear-quadratic optimal control problem, which has the shortcoming that over-performance of the fund is penalised as much as underperformance. If one adopts an asymmetric terminal loss function then it is not clear how to solve the optimisation problem. However, the dual optimisation problem suggests a particular asymmetric utility function, which expresses the pensioner's preference for the annuity rate at compulsory annuitisation. The transformation between the state variable and its dual is quadratic under this utility function, so that conversion between spaces is straightforward. Using this technique, simulation of the optimal controls reveals the effect of asymmetric preferences on the optimal investment and consumption during income drawdown. One feature of the asymmetric objective is that it can be optimal not to make any risky investment at all, but if and when this occurs depends strongly on the target drawdown rate.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129106284","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia? 生命周期投资者何时能从时变债券风险溢价中获益?
RI: Retirement Decision-Making (Topic) Pub Date : 2009-02-03 DOI: 10.2139/ssrn.795925
R. Koijen, Theo Nijman, B. Werker
{"title":"When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?","authors":"R. Koijen, Theo Nijman, B. Werker","doi":"10.2139/ssrn.795925","DOIUrl":"https://doi.org/10.2139/ssrn.795925","url":null,"abstract":"We study the economic importance of time-varying bond risk premia in a life-cycle consumption and portfolio-choice problem for an investor facing short-sales and borrowing constraints. On average, the investor is able to time bond markets only as of age~45. Tilts in the optimal asset allocation in response to changes in bond risk premia exhibit pronounced life-cycle patterns. Taking as a point of reference an investor who conditions only on age and wealth, we compute the management fee this investor is willing to pay to account for either current risk premia or for both current and future risk premia. We find the fees to account for current risk premia to be economically sizeable, ranging up to 1% per annum, but this fee is comparable to the fee of the fully optimal strategy. To solve our model, we extend recently developed simulation-based techniques to life-cycle problems featuring multiple state variables and multiple risky assets.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114990395","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
Retirement and Social Security: A Time Series Approach 退休与社会保障:一个时间序列方法
RI: Retirement Decision-Making (Topic) Pub Date : 2009-01-01 DOI: 10.2139/ssrn.1370437
Brendan Cushing-Daniels, C. E. Steuerle
{"title":"Retirement and Social Security: A Time Series Approach","authors":"Brendan Cushing-Daniels, C. E. Steuerle","doi":"10.2139/ssrn.1370437","DOIUrl":"https://doi.org/10.2139/ssrn.1370437","url":null,"abstract":"Traditional analyses of retirement decisions focus on the age, from birth, of the individual making choices about how much to work, consume, and save for old age. However, remaining life expectancy is arguably a better way of examining these issues. As mortality rates decline, people at a given age now have more remaining years of life expectancy than they did in the past. If participation rates at older ages remain constant (or decline), then average time spent in retirement will increase. Additionally, because health status and mortality are correlated, adults with more expected years of life are generally in better health (and better able to work) than those with fewer years of remaining life.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126240672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
The Disappearing Defined Benefit Pension and Its Potential Impact on the Retirement Incomes of Baby Boomers 正在消失的固定收益养老金及其对婴儿潮一代退休收入的潜在影响
RI: Retirement Decision-Making (Topic) Pub Date : 2009-01-01 DOI: 10.2139/SSRN.1370503
B. Butrica, H. Iams, Karen E. Smith, E. Toder
{"title":"The Disappearing Defined Benefit Pension and Its Potential Impact on the Retirement Incomes of Baby Boomers","authors":"B. Butrica, H. Iams, Karen E. Smith, E. Toder","doi":"10.2139/SSRN.1370503","DOIUrl":"https://doi.org/10.2139/SSRN.1370503","url":null,"abstract":"This article uses a microsimulation model to estimate how freezing all remaining private-sector and one-third of all public-sector defined benefit (DB) pension plans over the next 5 years would affect retirement incomes of baby boomers. If frozen plans were supplemented with new or enhanced defined contribution (DC) retirement plans, there would be more losers than winners, and average family incomes would decline. The decline in family income would be much larger for last-wave boomers born from 1961 through 1965 than for those born from 1946 through 1950, because younger boomers are more likely to have their DB pensions frozen with relatively little job tenure. Higher DC accruals would raise retirement incomes for some families by more than their lost DB benefits. But about 26 percent of last-wave boomers would have lower family incomes at age 67, and only 11 percent would see their income increase.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115711217","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 101
Using Financial Innovation to Support Savers: From Coercion to Excitement 利用金融创新支持储户:从强制到兴奋
RI: Retirement Decision-Making (Topic) Pub Date : 2008-04-14 DOI: 10.2139/ssrn.1120382
P. Tufano, Daniel Schneider
{"title":"Using Financial Innovation to Support Savers: From Coercion to Excitement","authors":"P. Tufano, Daniel Schneider","doi":"10.2139/ssrn.1120382","DOIUrl":"https://doi.org/10.2139/ssrn.1120382","url":null,"abstract":"We review a wide variety of programs that support savings by families, in particular by low- and moderate-income families. These programs range from ones that literally compel families to save, to those that make it hard not to save, make it easier to save, provide financial incentives to induce savings, leverage social networks to support savers, and finally, to programs that excite people to saving. These programs involve a number of different stakeholders, including governmental entities, social intermediaries, non-profit organizations, and for-profit firms including financial institutions. They embody a number of different assumptions about incentives, drawing from economics, psychology, and sociology. We describe examples of each program and provide some information on their economics and effectiveness. Our goal is not to identify the \"best\" program, but rather to lay out the range of innovations to meet the needs of heterogeneous potential savers.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133726475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 31
Heuristics and Biases in Retirement Savings Behavior 退休储蓄行为的启发式和偏差
RI: Retirement Decision-Making (Topic) Pub Date : 2007-01-22 DOI: 10.1257/JEP.21.3.81
S. Benartzi, R. Thaler
{"title":"Heuristics and Biases in Retirement Savings Behavior","authors":"S. Benartzi, R. Thaler","doi":"10.1257/JEP.21.3.81","DOIUrl":"https://doi.org/10.1257/JEP.21.3.81","url":null,"abstract":"Standard economic theories of saving implicitly assume that households have the cognitive ability to solve the relevant optimization problem and the willpower to execute the optimal plan. Both of the implicit assumptions are suspect. Even among economists, few spend much time calculating a personal optimal savings rate. Instead, most people cope by adopting simple heuristics, or rules of thumb. In this paper, we investigate both the heuristics and the biases that emerge in the area of retirement savings. We examine the decisions employees make about whether to join a savings plan, how much to contribute, and how to invest. Saving for retirement is a difficult problem, and most employees have little training upon which to draw in making the relevant decisions. Perhaps as a result, investors are relatively passive. They are slow to join advantageous plans; they make infrequent changes; and they adopt naive diversification strategies. In short, they need all the help they can get. We discuss the possible role of interventions aiming to improve retirement decision making. Fortunately, many effective ways to help participants are also the least costly interventions: namely, small changes in plan design, sensible default options, and opportunities to increase savings rates and rebalance portfolios automatically.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116475714","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 817
Baby Boomer Retirement Security: The Roles of Planning, Financial Literacy, and Housing Wealth 婴儿潮一代的退休保障:规划、金融知识和住房财富的角色
RI: Retirement Decision-Making (Topic) Pub Date : 2006-04-01 DOI: 10.2139/ssrn.1094808
A. Lusardi, O. Mitchell
{"title":"Baby Boomer Retirement Security: The Roles of Planning, Financial Literacy, and Housing Wealth","authors":"A. Lusardi, O. Mitchell","doi":"10.2139/ssrn.1094808","DOIUrl":"https://doi.org/10.2139/ssrn.1094808","url":null,"abstract":"We compare wealth holdings across two cohorts of the Health and Retirement Study: the early Baby Boomers in 2004, and individuals in the same age group in 1992. Levels and patterns of total net worth have changed relatively little over time, though Boomers rely more on housing equity than their predecessors. Most important, planners in both cohorts arrive close to retirement with much higher wealth levels and display higher financial literacy than non-planners. Instrumental variables estimates show that planning behavior can explain the differences in savings and why some people arrive close to retirement with very little or no wealth.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134042490","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2079
Making Maximum Use of Tax-Deferred Retirement Accounts 最大限度地利用递延纳税退休账户
RI: Retirement Decision-Making (Topic) Pub Date : 2005-12-01 DOI: 10.2139/ssrn.1150389
Janette A. Kawachi, Karen E. Smith, E. Toder
{"title":"Making Maximum Use of Tax-Deferred Retirement Accounts","authors":"Janette A. Kawachi, Karen E. Smith, E. Toder","doi":"10.2139/ssrn.1150389","DOIUrl":"https://doi.org/10.2139/ssrn.1150389","url":null,"abstract":"Most workers do not contribute the maximum allowable amount to employer-sponsored tax-deferred retirement plans. The share of maximum contributors increased between 1990 and 2003, as did the percentage of participants who contribute the maximum or at least 10 percent of earnings. But virtually all the growth in maximum contributors came from groups with high shares of maximum contributors in 1990. Recent increases in contribution limits can be expected to reduce shares of maximum contributors, but raise relative shares of maximum contributors among high-earning and education groups. Increases in contribution limits do little to increase retirement preparedness among lower-income groups.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123952209","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
The Role of Company Stock in 401(K) Plans 公司股票在401(K)计划中的作用
RI: Retirement Decision-Making (Topic) Pub Date : 2002-02-26 DOI: 10.2139/SSRN.1259364
Jack L. VanDerhei
{"title":"The Role of Company Stock in 401(K) Plans","authors":"Jack L. VanDerhei","doi":"10.2139/SSRN.1259364","DOIUrl":"https://doi.org/10.2139/SSRN.1259364","url":null,"abstract":"The Enron situation has caused the retirement income policy community to focus increased attention on the desirability of current law and practices regarding company stock in 401(k) plans. Several proposals have been advanced to limit the exposure of 401(k) participants to company stock. I suggest that, contrary to conventional wisdom, the introduction of company stock into 401(k) plans is not simply more risk for no additional (expected) return. Rather, the introduction of this asset class into the 401(k) participant's portfolio may have beneficial influences via the differential asset allocation. I create a model to simulate the likely financial impact of prospectively eliminating company stock from 401(k) plans and find that average balances are expected to be between 4.0 and 7.8 percent larger if company stock is retained.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130851641","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
A Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland 波兰养老金和失业福利改革分析框架
RI: Retirement Decision-Making (Topic) Pub Date : 1994-04-01 DOI: 10.2307/3867523
W. Perraudin
{"title":"A Framework for the Analysis of Pension and Unemployment Benefit Reform in Poland","authors":"W. Perraudin","doi":"10.2307/3867523","DOIUrl":"https://doi.org/10.2307/3867523","url":null,"abstract":"Pension reform in Poland is an urgent priority. Benefit expenditures have placed considerable pressure on public finances, hampering stabilization efforts. Demographic developments will exacerbate this pressure although probably less than some estimates have suggested. The main long-term argument for reform is that the current system induces severe microeconomic distortions. To analyze possible reforms, this paper employs a simulation model of a utility-maximizing household facing the detailed rules of the current Polish pension system. The reforms considered are designed to reduce the dead-weight losses associated with current arrangements and to alleviate the inequality engendered by the present system.","PeriodicalId":192371,"journal":{"name":"RI: Retirement Decision-Making (Topic)","volume":"242 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1994-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132907497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
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