Glide paths for a retirement plan with deferred annuities

Jang, Chul; Clare, Andrew; Owadally, Iqbal

Abstract

We construct investment glide paths for a retirement plan using both traditional asset classes and deferred annuities (DAs). The glide paths are approximated by averaging the asset proportions of stochastic optimal investment solutions. The objective function consists of power utility in terms of secured retirement income from purchased DAs, as well as a bequest that can be withdrawn before retirement. Compared with conventional glide paths and investment strategies, our DA-enhanced glide paths provide the investor with higher welfare gains, more efficient investment portfolios and more responsive retirement income patterns and bequest levels to different fee structures and personal preferences.

Citation

Jang, C., Clare, A., & Owadally, I. (2021). Glide paths for a retirement plan with deferred annuities. Journal of Pension Economics and Finance, 21(4), 565-581. https://doi.org/10.1017/S1474747221000251

• Journal Article Type: Article
• Acceptance Date: Feb 3, 2021
• Online Publication Date: Aug 31, 2021
• Publication Date: Aug 31, 2021
• Deposit Date: May 20, 2024
• Publicly Available Date: May 22, 2024
• Journal: Journal of Pension Economics and Finance
• Print ISSN: 1474-7472
• Electronic ISSN: 1475-3022
• Publisher: Cambridge University Press
• Peer Reviewed: Peer Reviewed
• Volume: 21
• Issue: 4
• Pages: 565-581
• DOI: https://doi.org/10.1017/S1474747221000251
• Public URL: https://nottingham-repository.worktribe.com/output/34871576
• Publisher URL: https://www.cambridge.org/core/journals/journal-of-pension-economics-and-finance/article/abs/glide-paths-for-a-retirement-plan-with-deferred-annuities/963FD2510B471E609C228B335D9F7F30