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.
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.
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.
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.
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 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.
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.
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.
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.
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 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.
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…
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.
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.
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…
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%.
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.
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled the housing market followed. That foundation was the Gaussian copula which faile…
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.
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.
There is, among the economist ecosystem, the idea of virtuous public spending as a form of promotion of economic growth. If we think on the way GDP is measured, it is not possible to get that conclusion because it becomes circular: measuring the money flow obviously will detect directly the public spending but always m…
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international migration patterns under different Brexit scenarios. To fully account for the recently …
New framework guides resource usage to achieve sublinear regret in adversarial settings.
problem Achieving sublinear regret in online decision making with changing reward and cost distributions.
method General primal-dual methods guided by spending plans that ensure balanced resource usage.
result Achieves sublinear regret with respect to spending plans that balance resource usage.
LHIEM model predicts health, income, and employment over years.
problem Lack of path dependency in health policy simulations.
method Discrete-time microsimulation with Markov chain modules.
result Validates health care financing proposal through detailed modeling.
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.
This paper improves credit line impact analysis by considering spending as a distribution.
problem Previous studies on credit lines' impact on spending have overlooked the distributional nature of spending.
method Developed a distribution-valued estimator framework to extend existing real-valued estimators.
result Credit lines positively influence spending across all quantiles, but more towards luxuries as they increase.
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…
Investors adjust spending based on a social norm, spending less during losses and more during gains.
problem Managing spending and portfolio decisions while adhering to a social norm.
method Formulated a preference ordering with two CRRA preference orderings, solved analytically and numerically.
result Annual spending should be lower than expected financial return and procyclical, with spending cuts following losses.
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly, and a power law when the saving factor is set diversely. The power distribution c…
Optimizes consumption, investment, and healthcare spending for aging populations.
problem Maximizing utility in an aging population with changing mortality rates.
method Solves an optimal stochastic control problem using a novel version of Perron's method.
result Endogenous mortality law that is asymptotically exponential in the old-age limit.
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,…
Automating the customer analytics process is crucial for companies that manage distinct customer bases. In such data-rich and dynamic environments, visualization plays a key role in understanding events of interest. These ideas have led to the popularity of analytics dashboards, yet academic research has paid scant att…
Paper proposes decentralized annuities for better retirement security.
problem Current pension systems' limitations and fairness issues.
method Theoretical models and fairness concepts analysis.
result Decentralized annuities offer enhanced flexibility and social welfare.
New fair regression methods improve health care spending predictions for undercompensated groups.
problem Current risk adjustment formulas underpredict spending for specific health groups, leading to unfair compensation.
method Developed new fair regression methods by integrating fairness considerations into the objective function.
result New methods lead to significant improvements in fairness (98%) with minimal impact on overall fit (4%).
This paper examines the economic benefits of monthly gratuity options.
problem Evaluating the economic advantages of monthly gratuity options over traditional ones.
method Quantitative analysis comparing tax relief benefits to savings or loan repayment.
result Monthly gratuity options provide economic benefits through tax relief.
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into invest-and-harvest decumulation strategies has been conducted, but recommendations diff…
Proposes a new robust expectile regression method for high-dimensional data.
problem Heterogeneity in high-dimensional data with heteroscedastic variance or inhomogeneous covariate effects.
method Iteratively reweighted ℓ1-penalization for robust expectile regression (retire).
result Oracle convergence rate after log(log d) iterations in high-dimensional settings.
Study optimal consumption for loss-averse agents considering past spending peaks.
problem Optimal consumption for loss-averse agents with reference to past spending maximum.
method Adopted S-shaped utility, concave envelope, HJB variational inequality, dual transform, and smooth-fit conditions.
result Obtained piecewise closed-form solutions for optimal consumption and investment control.
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.
Study optimal healthcare spending under Epstein-Zin preferences for longevity.
problem Optimizing healthcare spending to extend longevity under Epstein-Zin preferences.
method Formulated Epstein-Zin utilities over a controllable random horizon using backward stochastic differential equations and HJB equations.
result Calibrated model accurately reflects actual mortality data and compares healthcare efficacy between countries.
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.
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.
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%.
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is target-based. We find that it is po…
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.