Asset allocation for retirement: a utility approach

Detalhes bibliográficos
Autor(a) principal: Franco, Marco António Monteiro
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/25886
Resumo: This thesis examines how different asset allocation strategies impact the terminal wealth of individuals at retirement. We are particularly interested in studying the benefits and disadvantages of age-variant strategies, as their use has been growing. To do this, we analyze how several strategies have performed over historical rolling periods (1928 to 2013), and using a simulation we predict how they will fare in the future. The results suggest that at modest levels of risk aversion fix asset allocation strategies dominate. However, for highly risk-averse individuals, age-variant strategies may improve terminal wealth up to 3.1% when compared with the next best age-invariant strategy.
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spelling Asset allocation for retirement: a utility approachAsset allocationGlidepathIsoelastic utilityRetirementDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis thesis examines how different asset allocation strategies impact the terminal wealth of individuals at retirement. We are particularly interested in studying the benefits and disadvantages of age-variant strategies, as their use has been growing. To do this, we analyze how several strategies have performed over historical rolling periods (1928 to 2013), and using a simulation we predict how they will fare in the future. The results suggest that at modest levels of risk aversion fix asset allocation strategies dominate. However, for highly risk-averse individuals, age-variant strategies may improve terminal wealth up to 3.1% when compared with the next best age-invariant strategy.Eça, Afonso FuzetaRUNFranco, Marco António Monteiro2017-11-29T15:22:33Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/25886TID:201715473enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:13:38Zoai:run.unl.pt:10362/25886Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:24.390282Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Asset allocation for retirement: a utility approach
title Asset allocation for retirement: a utility approach
spellingShingle Asset allocation for retirement: a utility approach
Franco, Marco António Monteiro
Asset allocation
Glidepath
Isoelastic utility
Retirement
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Asset allocation for retirement: a utility approach
title_full Asset allocation for retirement: a utility approach
title_fullStr Asset allocation for retirement: a utility approach
title_full_unstemmed Asset allocation for retirement: a utility approach
title_sort Asset allocation for retirement: a utility approach
author Franco, Marco António Monteiro
author_facet Franco, Marco António Monteiro
author_role author
dc.contributor.none.fl_str_mv Eça, Afonso Fuzeta
RUN
dc.contributor.author.fl_str_mv Franco, Marco António Monteiro
dc.subject.por.fl_str_mv Asset allocation
Glidepath
Isoelastic utility
Retirement
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Asset allocation
Glidepath
Isoelastic utility
Retirement
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This thesis examines how different asset allocation strategies impact the terminal wealth of individuals at retirement. We are particularly interested in studying the benefits and disadvantages of age-variant strategies, as their use has been growing. To do this, we analyze how several strategies have performed over historical rolling periods (1928 to 2013), and using a simulation we predict how they will fare in the future. The results suggest that at modest levels of risk aversion fix asset allocation strategies dominate. However, for highly risk-averse individuals, age-variant strategies may improve terminal wealth up to 3.1% when compared with the next best age-invariant strategy.
publishDate 2017
dc.date.none.fl_str_mv 2017-11-29T15:22:33Z
2017-01-20
2017-01-20T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/25886
TID:201715473
url http://hdl.handle.net/10362/25886
identifier_str_mv TID:201715473
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instacron:RCAAP
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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