검색 상세

Essays on Asset Allocation and Optimal Retirement

초록/요약

This thesis studies optimal asset allocation and retirement decision with continuous-time theoretical models. The retirement decision and asset allocation are significant issues for an individual's lifetime planning. Moreover, the retirement decision can affect labor supply, and understanding the decision-making processes can provide policymakers with more insight into labor market. Thus, there has been substantial empirical and theoretical research studying factors that can affect an individual's retirement decision. Considering factors that can affect an individual's retirement decision, this thesis focuses on rational behavior and provides theoretical analyses of behavior based on continuous-time models. Chapter one explores the effects of retirement benefits provided by social insurance programs on consumption, portfolio choice, and retirement. We show that people tend to retire earlier with an increase in retirement social insurance benefits (SIBs), consistent with empirical evidence. We show also that people tend to increase savings before retirement in anticipation of increased retirement benefits, a counter-intuitive result. The response of risky investment with an increase in the SIBs is ambiguous, depending on parameter values. The overall social welfare will increase with an increase in SIBs if the balanced budget constraint is satisfied. We also investigate the effects of changes in the two streams of the SIBs (paid in perishable goods and cash) and the proportion of workers in entire population on social welfare. Chapter two examines an economic agent's optimal consumption, investment, life insurance purchase, and retirement decisions with a presumed level of tolerance for decline in living standard from the habitual level, the historical maximum consumption level. We show that a consumer can exhibit hesitancy to increase consumption when the current consumption is at the habitual level and increases consumption only when the accumulated financial wealth is large enough to maintain future consumption with the adjusted habitual level. We also show that a consumer with a higher level of intolerance for decline in living standard tends to retire later and accumulate more wealth by consuming less and purchasing less life insurance than a consumer with a lower intolerance level. The result of decreasing effective relative risk aversion of a consumer is also consistent with the empirical results concerning risk-taking behavior. Chapter three investigates the optimal consumption, investment, life insurance purchase, and retirement decisions of an economic agent whose risk aversion decreases at the retirement time. We show that the relationship between the optimal consumption/investment and mortality risk depends on the agent's mortality risk and wealth levels. An increase in mortality risk tends to increase life insurance purchase and decrease the threshold of wealth level for retirement. An increase in the bequest motive tends to increase life insurance purchase, leading the agent to decrease consumption and risky investment and to retire later. We also show that an increase in the disutility of labor increases the agent’s tendency to retire earlier. With an increase in the disutility of labor, the agent tends to decrease consumption, life insurance purchases, and the threshold of wealth level for retirement and increase risky investment to expedite retirement.

more

목차

1 Social Insurance for the Elderly 1
1.1 Introduction 1
1.2 Model 4
1.2.1 Financial Assets 4
1.2.2 Insurance Contracts 4
1.2.3 Social Insurance 5
1.2.4 Budget Constraint and Admissible Strategies 6
1.2.5 Utility Function 7
1.3 Optimization Problem 8
1.3.1 Post-retirement Problem 9
1.3.2 Pre-retirement Problem 16
1.4 Comparative Static Analysis 30
1.5 Social Welfare 37
1.6 Conclusion 45
2 Saving for Retirement: How to Maintain the Living Standard 47
2.1 Introduction 47
2.2 Model 49
2.2.1 Financial Market 49
2.2.2 Budget Constraint and Admissible Strategies 49
2.2.3 Utility function 51
2.3 Optimization Problem 52
2.4 Comparative Static Analysis 78
2.5 Conclusion 84
3 Retirement Planning and Asset Allocation under Regime Switching Environment 86
3.1 Introduction 86
3.2 Model 87
3.2.1 Financial Market 87
3.2.2 Budget Constraint and Admissible Strategies 87
3.2.3 Utility Function 88
3.3 Optimization Problem 89
3.3.1 Post-retirement Problem 90
3.3.2 Pre-retirement Problem 92
3.4 Comparative Static Analysis 95
3.5 Conclusion 99
References 101
A Appendix for Chapter 1 108
A.1 Optimal Strategies in case C 108

more
반출 Meta View 목록