Study shows bifurcation in optimal retirement planning.
problem Optimal consumption and retirement planning model.
method Cobb-Douglas utility, simple model with wealth bifurcation.
result Critical wealth level leads to a continuum of retirement trajectories.
Study optimal retirement time and consumption with habitual persistence.
problem Understanding retirement consumption patterns with habitual persistence.
method Established concise habitual evolution, used martingale and duality methods.
result Optimal consumption declines sharply at retirement but excess consumption increases.
Unified framework explains retirement and annuitization decisions under age-dependent mortality.
problem Complexity of annuitization decisions due to longevity risk and labor force participation.
method Stochastic control and optimal stopping framework with habit formation and endogenous labor supply.
result Rich sequence of retirement dynamics, including defensive and aggressive labor supply phases.
Investment and consumption strategies with luxury goods for retirement age.
problem Optimal investment and consumption with heterogeneous goods and retirement timing.
method PDE and stochastic control theory, variational inequality, dual transformation.
result Optimal consumption strategies and retirement policies for utility maximizers.
A model explains why 4% is a safe retirement withdrawal rate.
problem Determining a safe withdrawal rate for American retirees.
method Discrete-time model of stochastic returns on assets and their moments.
result The 4% rule emerges from adjusting high expected rates of return for various risks.
Investment strategy optimized under wealth limits for exponential utility maximization.
problem Maximizing wealth under fixed upper and lower limits for exponential utility.
method Combining optimal investment strategy with options to handle constraints.
result Investment strategy distribution analyzed for change of quantiles.
New stock valuation measure improves retirement planning predictions.
problem Improving accuracy of stock market predictions for retirement planning.
method Generalized CAPE model with detrending, treating earnings growth as exogenous.
result Long-run total returns equal earnings growth plus 4.6%.
Optimal retirement timing and consumption under shortfall risk management
problem Optimal portfolio, consumption, and endogenous early retirement problem
method Maximizing expected lifetime consumption utility while managing the maximum wealth shortfall relative to a benchmark
result Geometric structure of the stopping set and feedback-form optimal retirement boundary
The paper analyzes optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.
problem Optimal retirement decision in a market with habit persistence and jump diffusion.
method Habit reduction method and duality approach to solve the dual problem using a C1 version of Itô's formula. result Discontinuous investment strategies are possible when the so-called ``de facto wealth'' exceeds a critical proportion of wage.
The paper analyzes optimal retirement timing considering age-dependent mortality risk.
problem Optimal retirement timing under age-dependent mortality risk.
method Formulated as a stochastic control and optimal stopping problem, transformed into a finite time horizon, three-dimensional degenerate optimal stopping problem.
result Existence of an optimal retirement boundary, characterized as a unique solution to a nonlinear integral equation.
Reinforcement learning for optimizing retirement plans and target dated funds.
problem Optimizing financial goals through periodic investments and withdrawals.
method G-Learner and GIRL algorithms for goal-based wealth management.
result G-Learner provides a computationally tractable solution for wealth management tasks.
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
problem Optimizing investment strategies for occupational pension plans in the presence of non-tradable income risk.
method Formulated as a stochastic optimization problem, analyzed in both constant and stochastic volatility environments.
result Random contributions induce the optimal glide path structure, influenced by initial wealth, contributions, and risk aversion.
Optimizes investment and consumption for post-retirement with minimum guarantee.
problem Maximizing final annuity with minimum guarantee during decumulation phase.
method Dynamic programming via Hamilton-Jacobi-Bellman (HJB) equation, finite difference method.
result Existence and uniqueness of classical solutions proved through dual transformation.
In this paper, we develop an expected utility model for the retirement behavior in the decumulation phase of Australian retirees with sequential family status subject to consumption, housing, investment, bequest and government provided means-tested Age Pension. We account for mortality risk and risky investment assets,…
The paper examines optimal annuitization for retirees with potential post-retirement work.
problem Post-retirement labor participation complicates optimal annuitization decisions.
method Stochastic control, optimal stopping, expected utility maximization, martingale methodology, duality techniques.
result The optimal annuitization time is linearly dependent on initial wealth, with or without labor income.
Optimal annuitization strategy depends on age, labor income, and mortality risk.
problem Maximizing utility from consumption and labor income under age-dependent mortality.
method Dynamic programming approach to derive closed-form solutions.
result Post-retirement labor income acts as a substitute for annuitization.
Deep neural network optimizes retirement consumption in defined contribution pensions.
problem Optimizing consumption in a defined contribution pension system.
method Formulated as a stochastic control problem, trained deep neural network policy.
result Deep neural network outperforms deterministic rules and adapts to market changes.
The paper optimizes retirement spending considering habit formation and pension income.
problem Optimizing lifetime consumption under habit formation and pension income.
method Time inhomogeneous stochastic control problem with numerical solution using finite difference scheme.
result Consumption patterns change over time based on habit and optimal strategy.
Homeownership boosts wealth and welfare compared to renting, according to new research.
problem The conventional wisdom that renting is better than owning a home.
method Block-bootstrap lifecycle simulation to compare homeownership and renting strategies.
result Homeownership generates more wealth and welfare gains than renting, especially for households with high labor income.
Optimizes retirement spending and asset allocation to maximize withdrawals and shortfall.
problem Risk of depleting retirement savings with constant withdrawal rules.
method Dynamic asset allocation to maximize weighted EW and ES.
result Dynamic strategy outperforms constant withdrawal and asset allocation rules.
Optimal timing for borrowing from a 457(b) plan to maximize returns.
problem Deciding the best time to borrow from a tax-advantaged retirement account.
method Formulated and solved the optimal stopping problem for a loan from a 457(b) plan.
result Derived cutoff rules for optimal loan control, showing how to wait until a certain amount of money is accumulated.
Optimizes retirement income with MBGs and neural networks for longevity risk.
problem Maximizing lifetime withdrawals while managing longevity risk.
method Neural-network optimization under stochastic mortality.
result International diversification and longevity pooling improve retirement outcomes.
Paper tackles utility maximization with job-switching and retirement constraints.
problem Maximizing utility with job-switching and retirement constraints.
method Dual-martingale approach and double obstacle problem theory.
result Characterization of optimal job-switching strategy and wealth boundaries.
The thesis tackles two stochastic control problems in capital structure and portfolio choice.
problem Optimizing banks' dividend and recapitalization policies and individual's life-cycle portfolio choice.
method Developed stochastic control models to calibrate and analyze U.S. banks' asset values and optimal portfolio selection models.
result Calibrated model reveals that noise in reported asset values can hide up to one-third of true asset return volatility and increase banks' market equity value by 7.8%.
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
problem Optimal timing for converting retirement wealth into annuities under a mortality risk.
method Derives explicit closed-form solutions for value function and optimal stopping boundaries.
result The optimal strategy depends on the interplay between annuity attractiveness, investment returns, and bequest motives.
Semi-analytical approach for optimal wealth management contributions.
problem Optimizing contributions to achieve a financial goal with uncertain returns.
method Controlled backward Kolmogorov equation and Schrodinger equation solution.
result Semi-analytical solutions for efficient frontiers in control space.
Paper examines how income support affects retirement decisions for low-income individuals.
problem Retirement decisions of low-income individuals affected by income disaster.
method Modeling consumption/savings, investment, and retirement choices with income support.
result Optimal retirement decision depends on the level of income support provided.
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions. We focus on the impact of aging on the optimal purchase of life annuities which form the basis of most Defined Benefit pen…
Paper uses Monte Carlo simulations to predict retirement portfolios.
problem Retirement financial planning uncertainty.
method Monte Carlo simulations incorporating inflation, interest rates, etc.
result Probabilistic prediction of IRA and 401(k) values.
Optimal tontine strategy maximizes withdrawals while minimizing shortfall.
problem Maximizing withdrawals from a tontine account with withdrawal constraints.
method Dynamic programming and Fourier methods to solve PIDE, tested with historical data.
result Tontine overlay strategy outperforms constant withdrawal strategies.
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended) retirement, whichever happens first. In order to hedge the risk of losing income st…
Optimal timing for converting savings into annuities considering mortality risk.
problem Determining the best time to annuitize retirement savings under stochastic mortality.
method Formulated as a three-dimensional optimal stopping problem, reduced to nested one-dimensional problems, solved using PDMP structure.
result Rich structure for the optimal annuitization rule, covering various parameter specifications.
Study finds optimal retirement timing in uncertain wage scenarios.
problem Optimal retirement timing in presence of uncertain wages.
method Formulated as a free boundary problem in an incomplete market.
result Developed a method to determine optimal retirement timing.
We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function f and our current net worth as X(t) for any t, we invest an amount f(X(t)) in the market. We need a fortune of M "superdollars" to retire and want to retire as early as possible. We model our c…
Proposes a new model for retirement finance to handle complex risk factors.
problem Complexity in retirement finance models leading to ruin.
method Develops a multivariate density model with fixed marginals.
result Model can handle skewed, heavy-tailed, and multimodal data.
Study examines how liquidity constraints impact optimal retirement decisions.
problem Impact of liquidity constraints on optimal retirement decisions.
method Analytical solution using duality method with different liquidity constraints.
result Sensitivity analysis reveals the effect of liquidity constraints on retirement decisions.
Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they will not change. In practice, new static glidepaths may be derived periodically m…
This paper explores several types of income which have not been explored so far by authors who tackled income and wealth distribution using Statistical Physics. The main types of income we plan to analyze are income before redistribution (or gross income), income of retired people (or pensions), and income of active pe…
Study optimal portfolio for households with two goals: random and fixed deadlines.
problem Optimal portfolio choice for households managing random and fixed deadlines.
method Maximizes weighted sum of probabilities of funding both goals in a Black-Scholes market.
result Non-monotonic value function due to interaction between goals under forced funding.
Model trains agents to optimize saving and investment strategies for diverse retirement needs.
problem Optimal saving and investment strategies for individuals in varied employment and income profiles.
method Deep reinforcement learning to train intelligent agents with heterogeneous profiles.
result Flexible methodology estimates lifetime consumption and investment choices for different profiles.
Study on pooled annuity funds and how initial savings affect income stability.
problem Analyzing the stability of income payments in pooled annuity funds.
method Examining the influence of initial savings on income fluctuations and developing a criterion for pooling funds.
result Identification of a term, the 'implied number of homogeneous members', linking initial savings to income fluctuations.
The study infers risk preferences from portfolio choices and measures portfolio efficiency.
problem Measuring the efficiency of household investment portfolios based on risk preferences.
method Statistical analysis of portfolio choices and demographic information over six years.
result Implied risk aversion increases with wealth and financial literacy, impacting portfolio efficiency.
This paper optimizes DC pension plan investments using O-U process and loan.
problem Optimizing investment strategy for DC pension plans under specific market conditions.
method Dynamic programming and Hamilton-Jacobi-Bellman equation to derive optimal investment strategy.
result Explicit expression for optimal investment strategy derived.
Paper studies optimal investing for retirees with risk constraints.
problem Retirees' longevity and living standard risks in a fluctuating market.
method Formulated as a portfolio choice problem under time-varying risk capacity constraint. Derived optimal investment strategy using differential equations. Demonstrated endogenous spending measure and active investment strategy.
result Time-varying risk capacity constraint impacts asset allocation in retirement.
Study optimal asset allocation for DC plans with inflation and mortality risks.
problem Maximizing expected utility from terminal wealth in a pension plan with inflation and mortality risks.
method Closed-form solutions using a sufficient maximum principle approach for a problem with partial information.
result Closed-form solutions for asset allocation problem.
The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against personal longevity risk and possible "retirement ruin" in an economically efficient manner. We label this product a ruin-contingent life annui…
The paper models retirement spending using biological age instead of chronological age.
problem Retirement spending varies at the same chronological age.
method Developed a stochastic mortality model to adjust for biological age.
result Optimal consumption rates derived using biological age.
Study on Spanish households' investment choices in housing, deposits, and stocks.
problem Investment decisions of Spanish households in housing, deposits, and stocks.
method Theoretical model considering indivisible and illiquid housing assets, financial constraints, and actual choices compared.
result Households underinvest in stocks and deposits compared to optimal choices, but mortgage investments are efficient.