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Asset allocation for retirement: a utility approach
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Resumo(s)
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.
Descrição
Palavras-chave
Asset allocation Glidepath Isoelastic utility Retirement