Combined accumulation- and decumulation-plans with risk-controlled capital protection


Albrecht, Peter ; Weber, Carsten


[img]
Preview
PDF
MAMA57.pdf - Published

Download (42kB)

URL: https://ub-madoc.bib.uni-mannheim.de/263
URN: urn:nbn:de:bsz:180-madoc-2630
Document Type: Working paper
Year of publication: 2003
The title of a journal, publication series: Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Volume: 151
Place of publication: Mannheim
Publication language: English
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Subject headings (SWD): Portfoliomanagement
Abstract: We base our analysis on an investor, usually a retiree, endowed with a certain amount of wealth W, who considers both his own consumption needs (fixed periodic withdrawals) and the requirement of his heirs (defined bequest). For this purpose he pursues the following investment strategy. The part F is invested in a set of investment funds with the target to achieve an accumulated wealth at the end of a certain time horizon of at least the original amount of wealth W (or the fraction (1-h)W), measured in real terms. As certain investment risks are implied, we allow for the probability of falling short of the target and implement it into our model as a risk control parameter. The remaining part MM of the original wealth is invested in money market funds in order to avoid additional investment risks and deliver fixed periodic withdrawals until the end of the respective time horizon. The optimal investment strategy is the investment fund allocation that satisfies the probability of shortfall and minimizes F, while maximizing the fixed periodic withdrawals. We outline this investment problem in a mathematical model and illustrate the solution for a reasonable choice of empirical parameters.

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




+ Citation Example and Export

Albrecht, Peter ; Weber, Carsten (2003) Combined accumulation- and decumulation-plans with risk-controlled capital protection. Open Access Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft Mannheim 151 [Working paper]
[img]
Preview


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics



You have found an error? Please let us know about your desired correction here: E-Mail


Actions (login required)

Show item Show item