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作者机构:Cass Business Sch 106 Bunhill Row London EC1Y 8TZ England Hanyang Univ 55 Hanyangdeahak Ro Ansan 15588 South Korea
出 版 物:《EUROPEAN JOURNAL OF OPERATIONAL RESEARCH》 (欧洲运筹学杂志)
年 卷 期:2021年第295卷第3期
页 面:1132-1146页
核心收录:
学科分类:1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学]
主 题:Finance Stochastic programming Inflation-protected annuities Interest rate model Scenario fans
摘 要:We construct an optimal investment portfolio model for an individual investor saving in a retirement plan. The investor earns stochastic labour income with both permanent and temporary shocks, and has access to equity, conventional bond, inflation-indexed bond and cash, as well as two types of deferred annuities: nominal and inflation-protected. The objective function consists of power utility in terms of real retirement income from the annuities as well as bequest from remaining wealth in tradable securities. Asset returns are represented by a vector autoregressive model underpinned by Nelson-Siegel real and nominal yield curves. The optimization problem is solved numerically using multi-stage stochastic programming with a hybrid scenario structure combining a scenario tree with scenario fans. Our numerical results show that deferred annuities are bought early and in increasing amounts during the working lifetime of the investor, with portfolio risk declining with age. Welfare is diminished by 40% if deferred annuities are not available. Inflation-protected deferred annuities are marginally more important in the presence of real labour income risk, but nominal deferred annuities are bought as a cheaper alternative if real yields are low or negative. Portfolio composition and annuity allocation vary depending on financial market expectations, but our central result about the importance of deferred annuities is robust to a variety of financial market conditions. (c) 2021 Elsevier B.V. All rights reserved.