Matches in SemOpenAlex for { <https://semopenalex.org/work/W333893104> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W333893104 abstract "This paper is concerned with the use of currently available technology to provide individuals, financial advisors and pension fund financial planners with detailed prospective financial plans tailored to an individual's financial goals and obligations. By taking account of all prospective cash flows of an individual, including servicing current liabilities, and simultaneously optimizing prospective spending, saving, asset allocation, tax, insurance, etc. using dynamic stochastic optimization, the paper addresses the question of the title by comparing the results of such a goal-based fully dynamic strategy with representative current best practices of the financial advisory industry. These include piecemeal fixed allocation portfolios for specific goals, target-date retirement funds and fixed real income post-retirement financial products, all using Markowitz mean variance optimization based on the very general goal of minimizing portfolio volatility for a specific portfolio expected return over a finite horizon. Making use of the same data and market calibrated Monte Carlo stochastic simulation for all the alternative portfolio strategies, we find that flexibility turns out to be of key importance to individuals for both portfolio and spending decisions. The performance of the adaptive dynamic goal-based portfolio strategy is found to be far superior to all the industry’s Markowitz-based approaches. Superiority is measured here by the certainty equivalent increase in expected utility of individual lifetime consumption (gamma) and the extra initial capital required by an individual to put the dominated strategy on the same expected utility footing as the optimal dynamic strategy (initial capital gap). These empirical results should put paid to the commonly held view amongst finance professionals that the extra complexity of holistic dynamic stochastic models is not worth the marginal extra value obtained from their employment. We hope that such approaches implemented in currently available technologies will rapidly find acceptance by individuals, financial advisors and pension funds to the genuine benefit of individual investors." @default.
- W333893104 created "2016-06-24" @default.
- W333893104 creator A5018952669 @default.
- W333893104 creator A5026265787 @default.
- W333893104 creator A5034954317 @default.
- W333893104 creator A5043425929 @default.
- W333893104 creator A5047260324 @default.
- W333893104 date "2015-01-01" @default.
- W333893104 modified "2023-09-27" @default.
- W333893104 title "Life Cycle Goal Achievement or Portfolio Volatility Reduction?" @default.
- W333893104 cites W1599475530 @default.
- W333893104 cites W2044447352 @default.
- W333893104 cites W2133903554 @default.
- W333893104 cites W2145107370 @default.
- W333893104 cites W2172163742 @default.
- W333893104 cites W2318681923 @default.
- W333893104 cites W2530804296 @default.
- W333893104 doi "https://doi.org/10.2139/ssrn.2586178" @default.
- W333893104 hasPublicationYear "2015" @default.
- W333893104 type Work @default.
- W333893104 sameAs 333893104 @default.
- W333893104 citedByCount "0" @default.
- W333893104 crossrefType "journal-article" @default.
- W333893104 hasAuthorship W333893104A5018952669 @default.
- W333893104 hasAuthorship W333893104A5026265787 @default.
- W333893104 hasAuthorship W333893104A5034954317 @default.
- W333893104 hasAuthorship W333893104A5043425929 @default.
- W333893104 hasAuthorship W333893104A5047260324 @default.
- W333893104 hasConcept C10138342 @default.
- W333893104 hasConcept C139819358 @default.
- W333893104 hasConcept C162118730 @default.
- W333893104 hasConcept C162324750 @default.
- W333893104 hasConcept C202655437 @default.
- W333893104 hasConcept C21099588 @default.
- W333893104 hasConcept C2780821815 @default.
- W333893104 hasConcept C51485801 @default.
- W333893104 hasConcept C77913304 @default.
- W333893104 hasConcept C91602232 @default.
- W333893104 hasConcept C9725762 @default.
- W333893104 hasConceptScore W333893104C10138342 @default.
- W333893104 hasConceptScore W333893104C139819358 @default.
- W333893104 hasConceptScore W333893104C162118730 @default.
- W333893104 hasConceptScore W333893104C162324750 @default.
- W333893104 hasConceptScore W333893104C202655437 @default.
- W333893104 hasConceptScore W333893104C21099588 @default.
- W333893104 hasConceptScore W333893104C2780821815 @default.
- W333893104 hasConceptScore W333893104C51485801 @default.
- W333893104 hasConceptScore W333893104C77913304 @default.
- W333893104 hasConceptScore W333893104C91602232 @default.
- W333893104 hasConceptScore W333893104C9725762 @default.
- W333893104 hasLocation W3338931041 @default.
- W333893104 hasOpenAccess W333893104 @default.
- W333893104 hasPrimaryLocation W3338931041 @default.
- W333893104 hasRelatedWork W1499621029 @default.
- W333893104 hasRelatedWork W1555306133 @default.
- W333893104 hasRelatedWork W1559015340 @default.
- W333893104 hasRelatedWork W1581802985 @default.
- W333893104 hasRelatedWork W1880772395 @default.
- W333893104 hasRelatedWork W1889454290 @default.
- W333893104 hasRelatedWork W2029613953 @default.
- W333893104 hasRelatedWork W2052551201 @default.
- W333893104 hasRelatedWork W2065918014 @default.
- W333893104 hasRelatedWork W2134836979 @default.
- W333893104 hasRelatedWork W2222122741 @default.
- W333893104 hasRelatedWork W239591915 @default.
- W333893104 hasRelatedWork W2401564195 @default.
- W333893104 hasRelatedWork W2481519250 @default.
- W333893104 hasRelatedWork W2489693730 @default.
- W333893104 hasRelatedWork W3123082940 @default.
- W333893104 hasRelatedWork W3123963552 @default.
- W333893104 hasRelatedWork W3125357862 @default.
- W333893104 hasRelatedWork W3125384467 @default.
- W333893104 hasRelatedWork W3175019425 @default.
- W333893104 isParatext "false" @default.
- W333893104 isRetracted "false" @default.
- W333893104 magId "333893104" @default.
- W333893104 workType "article" @default.