Consumption and Portfolio Optimisation at the End of the Life-Cycle

ISBN-13: 9783838104812 / Angielski / Miękka / 2009 / 248 str.

David Schiess

Opis

The thesis focus is on the consumption/portfolio optimisation and the optimal annuitisation decision of a pensioner in a continuous time setting. Technically, this involves solving a combined optimal stopping and optimal control problem (COSOCP). The retiree faces the crucial question of how much to consume and how much to invest in the risky asset (financial market risk). This creates the optimal control aspect of the COSOCP. The second source of uncertainty is the pensioners longevity risk, which is why we include an annuity market. The pensioner has to find the optimal time to annuitise his wealth. This constitutes the optimal stopping aspect of the COSOCP. The task of finding the pensioners optimal consumption, asset allocation and annuity decision rule leads to the interesting interplay of optimal control theory, optimal stopping theory and finally, mortality and bequest issues.

O autorze

Dr. David Schiess, M. Sc. studied economics at the University of
St. Gallen with a focus on finance and studied mathematics at
the University of Hagen. He teaches mathematics, statistics and
finance at the University of St. Gallen and works as a product
developer and consultant in the field of asset-liability
management for pension funds.