Earticle

초록

영어

This paper investigates optimal retirement planning when Epstein-Zin type individuals desire to maintain a certain minimum level of consumption, which can be achieved only by a guaranteed income stream after retirement. Our model incorporates the subsistence level in consumption, social securities, and defined-contribution retirement pensions, all of which are necessary to guarantee a minimal income stream. Our model shows that the movements of the optimal risky investments might dramatically change with the subsistence level in consumption. Our numerical results show that the risky investment rate in the retirement pension can increase with the risk-free gross return rate and with the risk aversion level when the low risk-free rate and risk aversion level are both low. Furthermore, the risky investment rate in the retirement pension can decrease even when the market condition is favorable.

목차

Abstract
 1. Introduction
 2. Model
  2.1. Financial Markets and Wealth
  2.2. A Lifetime Consumption and Investment Problem
 3. Data and Parameter Estimation
 4. Implication
 5. Conclusion
 Appendix A. The Sketch of the Algorithm to Solve the Problem
 References

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Republic of Korea ]
• Taeyong Kim [ Morningstar Associates Korea, Republic of Korea ]
• Seungkyu Lee [ Department of Industrial and Management Engineering, POSTECH, Republic of Korea ]
• Hyeon-Wuk Tae [ Department of Industrial and Management Engineering, POSTECH, Republic of Korea ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330