| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12392 |
| 来源ID | Working Paper 12392 |
| Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion | |
| Wolfram J. Horneff; Raimond Maurer; Olivia S. Mitchell; Ivica Dus | |
| 发表日期 | 2006-07-31 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Retirees must draw down their accumulated assets in an orderly fashion so as not to exhaust their funds too soon. We derive the optimal retirement portfolio from a menu that includes payout annuities as well as an investment allocation and a withdrawal strategy, assuming risk aversion, stochastic capital markets, and uncertain lifetimes. The resulting portfolio allocation, when fixed as of retirement, is then compared to phased withdrawal strategies such a %u201Cself-annuitization%u201D plan or the 401(k) %u201Cdefault%u201D pattern encouraged under US tax law. Surprisingly, the fixed percentage approach proves appealing for retirees across a wide range of risk preferences, supporting financial planning advisors who often recommend this rule. We then permit the retiree to switch to an annuity later, which gives her the chance to invest in the capital market and %u201Cbet on death.%u201D As risk aversion rises, annuities first crowd out bonds in retiree portfolios; at higher risk aversion still, annuities replace equities in the portfolio. Making annuitization compulsory can also lead to substantial utility losses for less risk-averse investors. |
| URL | https://www.nber.org/papers/w12392 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570049 |
| 推荐引用方式 GB/T 7714 | Wolfram J. Horneff,Raimond Maurer,Olivia S. Mitchell,et al. Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12392.pdf（301KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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