An Evolutionary Algorithm for Deriving Withdrawal Rates in Defined Contribution Schemes

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dc.authoridWest, Jason/0000-0003-3271-3155|Senel, Ilhan Kerem/0000-0003-4496-5149
dc.authorwosidWest, Jason/KFA-7096-2024
dc.authorwosidSenel, Ilhan Kerem/D-1153-2019
dc.contributor.authorSenel, Kerem
dc.contributor.authorWest, Jason
dc.date.accessioned2024-07-18T20:52:12Z
dc.date.available2024-07-18T20:52:12Z
dc.date.issued2015
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description1st Australasian Conference on Artificial Life and Computational Intelligence (ACALCI) -- FEB 05-07, 2015 -- Newcastle, AUSTRALIAen_US
dc.description.abstractRisk-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.en_US
dc.description.sponsorshipSch Creat Arts,Univ Newcastle, Sch Elect Engn & Comp Sci,Univ Queensland,Univ New South Wales,Bond Univ,CSIRO ICT Ctr,Edith Cowan Univen_US
dc.identifier.endpage296en_US
dc.identifier.isbn978-3-319-14803-8
dc.identifier.isbn978-3-319-14802-1
dc.identifier.issn0302-9743
dc.identifier.scopus2-s2.0-84920887395en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.startpage286en_US
dc.identifier.urihttps://hdl.handle.net/11411/8567
dc.identifier.volume8955en_US
dc.identifier.wosWOS:000358592400022en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringer Int Publishing Agen_US
dc.relation.ispartofArtificial Life and Computational Intelligenceen_US
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectAsset Allocationen_US
dc.subjectPension Funden_US
dc.subjectSafe Withdrawal Rateen_US
dc.subjectGenetic Algorithmen_US
dc.subjectContribution Pension Schemesen_US
dc.subjectAsset Allocationen_US
dc.titleAn Evolutionary Algorithm for Deriving Withdrawal Rates in Defined Contribution Schemesen_US
dc.typeConference Objecten_US

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