Less is more: Increasing retirement gains by using an upside terminal wealth constraint

Catherine Donnelly, Russell Gerrard, Montserrat Guillén and Jens Perch Nielsen

Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 259-267

Abstract: We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement.

Keywords: Retirement planning; Retirement wealth distribution; Savings plan; Portfolio optimization; Stochastic control (search for similar items in EconPapers)
JEL-codes: D14 D81 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:64:y:2015:i:c:p:259-267

DOI: 10.1016/j.insmatheco.2015.06.003

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