Using dynamic stochastic simulation to determine asset allocation of sustainable retirement portfolio for a stochastic lifetime; [Dinaminis stochastinis imitacinis modeliavimas sudarant tvarų pensijos portfelį esant stochastinei gyvenimo trukmei]

Paper Details

Authors:

DOI: 10.3846/btp.2010.41

Journal: Business: Theory and Practice

Year: 2010

Publisher: Vilnius Gedminas Technical University

Document Type: Article

Open Access: All Open Access; Gold Open Access; Green Open Access

Cited by: 0

Abstract

The article examines the problem of determining asset allocation of sustainable retirement portfolio. Former researches used to analyse the fixed retirement planning horizon. Seeking to reflect the stochastic nature of the human lifespan the dynamic stochastic simulation models used for calculations are updated to incorporate the probability of living another year based on Lithuanians'mortality tables. The article presents the attempts to analyse the methods used to identify the optimal asset allocation of retirement portfolio using dynamic stochastic simulation techniques. The research results are presented and the recommendations for the practical application of the methods to determine asset allocation of sustainable retirement portfolio are provided.

Keywords

Methods to determine asset allocation of retirement portfolio; Probability of retirement portfolio ruin; Stochastic optimization; Stochastic retirement lifespan; Sustainable retirement portfolio

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