Conditional shortfall risk of lifetime consumption

Tom Anichini (), Jim Grabot (), Sherrie Grabot (), Ming Yee Wang (), Ganlin Xu () and Louis Zijl ()
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Tom Anichini: Guidedchoice.com, Inc.
Jim Grabot: Guidedchoice.com, Inc.
Sherrie Grabot: Guidedchoice.com, Inc.
Ming Yee Wang: Guidedchoice.com, Inc.
Ganlin Xu: Guidedchoice.com, Inc.
Louis Zijl: Guidedchoice.com, Inc.

Annals of Operations Research, 2025, vol. 346, issue 1, No 30, 623-644

Abstract: Abstract This paper explores options to generate Markowitz efficient frontiers, from which a suitable portfolio is recommended to retirees. The risk measures of these options are the standard deviations of asset returns, variance of normalized present values of discounted consumption, shortfall risk, and conditional shortfall risk, or the combinations of them. We report the shortfall risk and conditional shortfall risk for all these efficient portfolios.

Keywords: Mean–variance efficient frontier; Value-at-risk; Conditional value-at-risk; Intertemporal consumption; Shortfall risk; Conditional shortfall risk (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10479-024-06316-7

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