An Evolutionary Algorithm for Deriving Withdrawal Rates in Defined Contribution Schemes
Küçük Resim Yok
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer Int Publishing Ag
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Risk-averse investors typically adopt a fixed spending strategy during retirement to prevent against the premature depletion of their retirement portfolio. But a constant withdrawal rate means that retirees accumulate unspent surpluses when markets outperform and face spending shortfalls when markets underperform. The opportunity cost of unspent surpluses associated with this strategy can be extreme. We employ a genetic algorithm to find optimal asset allocation and withdrawal levels for a retirement portfolio. Using US and international data we compare this approach to existing strategies that use basic investment decision rules. Our results show that allocations to riskier assets early in retirement generates rising incomes later in retirement, without increasing the probability of ruin. A rising income profile remains optimal under different levels of risk aversion. This finding disputes the safe withdrawal rate conventions used in contemporary financial advice models.
Açıklama
1st Australasian Conference on Artificial Life and Computational Intelligence (ACALCI) -- FEB 05-07, 2015 -- Newcastle, AUSTRALIA
Anahtar Kelimeler
Asset Allocation, Pension Fund, Safe Withdrawal Rate, Genetic Algorithm, Contribution Pension Schemes, Asset Allocation
Kaynak
Artificial Life and Computational Intelligence
WoS Q Değeri
N/A
Scopus Q Değeri
Q3
Cilt
8955
