Multi-Dimensional Asset Allocation Strategy with DA-RNN

2019 ◽  
Author(s):  
Tae Young Lee
Keyword(s):  
Asset Allocation ◽  
Allocation Strategy

scholarly journals OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION

2021 ◽  
pp. 1-34
Author(s):  
Peter A. Forsyth ◽  
Kenneth R. Vetzal ◽  
Graham Westmacott
Keyword(s):  
Asset Allocation ◽  
Asset Returns ◽  
Retirement Savings ◽  
Allocation Strategy ◽  
Investment Portfolio ◽  
Dynamic Asset Allocation ◽  
Dynamic Strategy ◽  
Prior Literature ◽  
Weighted Combination ◽  
Over Time

Abstract We extend the Annually Recalculated Virtual Annuity (ARVA) spending rule for retirement savings decumulation (Waring and Siegel (2015) Financial Analysts Journal, 71(1), 91–107) to include a cap and a floor on withdrawals. With a minimum withdrawal constraint, the ARVA strategy runs the risk of depleting the investment portfolio. We determine the dynamic asset allocation strategy which maximizes a weighted combination of expected total withdrawals (EW) and expected shortfall (ES), defined as the average of the worst 5% of the outcomes of real terminal wealth. We compare the performance of our dynamic strategy to simpler alternatives which maintain constant asset allocation weights over time accompanied by either our same modified ARVA spending rule or withdrawals that are constant over time in real terms. Tests are carried out using both a parametric model of historical asset returns as well as bootstrap resampling of historical data. Consistent with previous literature that has used different measures of reward and risk than EW and ES, we find that allowing some variability in withdrawals leads to large improvements in efficiency. However, unlike the prior literature, we also demonstrate that further significant enhancements are possible through incorporating a dynamic asset allocation strategy rather than simply keeping asset allocation weights constant throughout retirement.

scholarly journals Private Retirement Scheme Funds: Will the Asset Allocation Strategy Work For Retirees?

2019 ◽  
Vol 8 (1) ◽  
pp. 1-13 ◽  
Author(s):  
Wee Yeap Lau
Keyword(s):  
Asset Allocation ◽  
Fixed Income ◽  
Allocation Strategy ◽  
Average Growth ◽  
Fund Managers ◽  
Value Stocks ◽  
Strong Focus ◽  
Large Growth ◽  
Growth Stocks ◽  
High Degree

One of the principal-agent problems is the asymmetric information between fund managers and investors. To mitigate this issue, this study conducts the return-based style analysis on Private Retirement Scheme funds to their asset allocation strategy. Our results show: First, conservative funds have a strong focus on fixed income products rather than equity. Second, in terms of asset allocation to equity, on average, growth funds have a higher allocation to foreign equity of 16.28 per cent, followed by moderate funds of 9.18 per cent; Third, growth funds focus on large growth stocks, while moderate funds focus on large value stocks. However, three observations deserve our attention: First, a high degree of selection for the conservative fund will entail higher transaction cost; and second, in terms of the degree of style and selection, conservative funds do not vary much from growth funds. In other words, there is no distinct product differentiation between the two categories; Lastly, there is a wide disparity in asset allocation across the conservative funds. This implies some degree of risk-taking by some fund managers. These results suggest that the financial goals of retirees will be undermined if PRS funds do not focus on their mandate. 

scholarly journals Asset Allocation Strategy under Housing Market

2015 ◽  
Vol 6 (21) ◽  
pp. 119-151 ◽  
Author(s):  
Aliakbar Gholizadeh ◽  
Mohsen Ebrahimi ◽  
Behnaz Kamyab ◽  
◽  
◽  
...  
Keyword(s):  
Housing Market ◽  
Asset Allocation ◽  
Allocation Strategy
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