terminal wealth
Less is more: increasing retirement gains by using an upside terminal wealth constraint
... initial wealth and periodic amounts in order to reach some target capital at a fixed time horizon that represents the intended retirement ...model. Wealth can be invested in a risky asset and in a risk-free ...
20
Optimal investment policy for an insurer with ambiguity aversion: maximizing exponential utility of terminal wealth
... of terminal wealth and minimizing the probability of ruin; Hipp and Plum (2000, 2003) considered the optimal investment problems for insurers and individuals ...
9
Risk-adjusted impact of administrative costs on the distribution of terminal wealth for long-term investment
... The impact of administrative costs on the distribution of terminal wealth is approximated using a simple formula applicable to many investment situations. We show that the reduction in median returns ...
13
Less is more: increasing retirement gains by using an upside terminal wealth constraint
... Permanent repository link: http://openaccess.city.ac.uk/12177/ Link to published version: http://dx.doi.org/10.1016/j.insmatheco.2015.06.003 Copyright and reuse: City Research Online aim[r] ...
6
Solutions to some portfolio optimization problems with stochastic income and consumption
... Abstract. We solve an optimal portfolio choice problem for an investor with either power or log utility over terminal wealth in close form, facing imperfectly hedgeable stochastic income. The returns on the ...
21
Optimal Asset Allocation Strategy for Defined Contribution Pension Plans with Different Power Utility Functions
... when terminal utility is a power function of wealth-to-wage ratio, and deterministically horizon dependent when terminal utility is a function of terminal wealth or replacement ratio ...
17
Variational Form of Classical Portfolio Strategy and Expected Wealth for a Defined Contributory
... This paper examines the variational form of classical portfolio strategy and expected terminal wealth for a Pension Plan Member (PPM) in a Defined Contribution (DC) Pension scheme. The flows of ...
8
Investment strategies and compensation of a mean-variance optimizing fund manager
... Recently, Basak and Chabakauri [8] and [9] proposed another view on mean-variance optimi- sation. They introduced a notion of optimality in an intra-personal game theoretic sense. This has the advantage of turning the ...
44
On utility of wealth maximization
... A more recent approach to the problem of expected utility maximization, which permits us to avoid the assumption of Markov asset prices, is based on duality characterizations of portfolios provided by the set of ...
61
Diversification returns, rebalancing returns and volatility pumping
... There is now a substantial literature on the effects of rebalancing on portfolio performance. It is widely argued in the theoretical literature that rebalanced strategies are inherently likely to generate greater ...
52
International Equity Flows and the Predictability of U S Stock Returns
... variables are often included in the optimal forecasting model. In a second step, we resampled with replacement from our core variables in a way such that the contemporaneous correlation between stock returns, ...
30
Risk Management for a Risk-averse Firm with Contingent Payment
... the wealth of the firm at t, W 0 is the initial wealth Following the sequence of events and using the notations defined, the uncertain terminal wealth of the firm can be obtained as ...The ...
5
Dynamic pricing of general insurance in a competitive market
... In Section 2 we propose a two factor model of the general insurance market: one factor models the randomness of the claim size and intensity, whilst the other models the market average premium. This model is used to ...
44
Optimal portfolio and wealth valuation strategies with stochastic cash flows dependent on the optimal wealth
... and wealth valuation of an investor, who receive continuous-time stochastic cash inflows and pays continuously a stochastic cash ...of wealth process of the investor was established in this ...
17
Renewing the wealth of nations
... based on the number of years of residence. Dividends recirculate within the Alaska economy and help to support local businesses. Though they are equally distributed, they benefit (relatively speaking) lower-income ...
332
Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy
... housing wealth on consumption was by Elliott ...financial wealth, and nonfinancial wealth, and found that changes in the latter had no effect upon ...housing wealth upon ...housing ...
39
On The Health and Wealth of Nations
... Human development is the process of improving wellbeing. The Human Development Index (HDI) was created to summarize human development within a nation. It combines equally measures of health, education, and wealth ...
7
Drain of Wealth Theory
... the wealth of the country which has been going on for years ...of wealth more devastating than the loot and plunder made by foreigners invaders like Nadir Shah, who “ came, looted the country and went back ...
5
The Achilles’ heels of growth: factor price distortions and wealth transfer in China
... Lastly, government revenue also takes the form of levying fees on the commercial sector for routine tasks. These statistics are even less available. Putting these four sources of revenue together, the share of government ...
27
Individual wealth accumulation: Why does dining together as a family matter?
... The results of this study provide evidence that those individuals, who demonstrate high self-regulation capacity, accumulated more wealth between 1994 and 2004. This can possibly be because individuals with higher ...
23