About: This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the optimal investment strategy under the specific condition on model parameters in terms of second-order ordinary differential equations. We demonstrate an endogenous number that measures the expected value to sustain the spending post-retirement. The optimal portfolio is nearly neutral to the stock market movement if the portfolio's value is higher than this number; but, if the portfolio is not worth enough to sustain the retirement spending, the retiree actively invests in the stock market for the higher expected return. Besides, we solve an optimal portfolio choice problem under a leverage constraint and show that the optimal portfolio would lose significantly in stressed markets. This paper shows that the time-varying risk capacity constraint has important implications for asset allocation in retirement.

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About: This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the optimal investment strategy under the specific condition on model parameters in terms of second-order ordinary differential equations. We demonstrate an endogenous number that measures the expected value to sustain the spending post-retirement. The optimal portfolio is nearly neutral to the stock market movement if the portfolio's value is higher than this number; but, if the portfolio is not worth enough to sustain the retirement spending, the retiree actively invests in the stock market for the higher expected return. Besides, we solve an optimal portfolio choice problem under a leverage constraint and show that the optimal portfolio would lose significantly in stressed markets. This paper shows that the time-varying risk capacity constraint has important implications for asset allocation in retirement. Goto Sponge NotDistinct Permalink

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value	This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under a time-varying risk capacity constraint. We derive the optimal investment strategy under the specific condition on model parameters in terms of second-order ordinary differential equations. We demonstrate an endogenous number that measures the expected value to sustain the spending post-retirement. The optimal portfolio is nearly neutral to the stock market movement if the portfolio's value is higher than this number; but, if the portfolio is not worth enough to sustain the retirement spending, the retiree actively invests in the stock market for the higher expected return. Besides, we solve an optimal portfolio choice problem under a leverage constraint and show that the optimal portfolio would lose significantly in stressed markets. This paper shows that the time-varying risk capacity constraint has important implications for asset allocation in retirement.
subject	Stock market Capitalism Actuarial science Differential equations Dutch inventions »more»
part of	Optimal Investing after Retirement Under Time-Varying Risk Capacity Constraint
is abstract of	Optimal Investing after Retirement Under Time-Varying Risk Capacity Constraint
is hasSource of	covid:ann/target/06f59a2a386e026f2e497d3abecb665159246377 covid:ann/target/245d8329fcafc5c3e5da09157b2f02c4c5838d3d covid:ann/target/1d275fb6e944e93ae0264370d9fa54415607378b covid:ann/target/6481d0dd6eae480a33d4e17558ea1f12ddb57f93 covid:ann/target/eded1a833582a9b71594576c9b9b341e48dd1cef »more»

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