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Journal articles on the topic 'Methods to determine asset allocation of retirement portfolio'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Klimavičienė, Aušra. "Using Dynamic Stochastic Simulation to Determine Asset Allocation of Sustainable Retirement Portfelio for a Stochastic Lifetime." Business: Theory and Practice 11, no. (4) (2010): 381–86. https://doi.org/10.3846/btp.2010.41.

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The article examines the problem of determining asset allocation of sustainable retirement portfolio. Former researches used to analyse the fixed retirement planning horizon. Seeking to reflect the stochastic nature of the human lifespan the dynamic stochastic simulation models used for calculations are updated to incorporate the probability of living another year based on Lithuanians ' mortality tables. The article presents the attempts to analyse the methods used to identify the optimal asset allocation of retirement portfolio using dynamic stochastic simulation techniques. The research resu

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2

Klimavičienė, Aušra. "Stochastic Optimization of Heuristic Method Rule to Determine Asset Allocation to Retirement Portfolio." Business: Theory and Practice 12, no. (1) (2011): 92–98. https://doi.org/10.3846/btp.2011.10.

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The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to "100" is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns an

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3

Klimavičienė, Aušra. "STOCHASTIC OPTIMIZATION OF HEURISTIC METHOD RULE TO DETERMINE ASSET ALLOCATION TO RETIREMENT PORTFOLIO / STOCHASTINIS EURISTINIO METODO TAISYKLĖS PENSIJOS PORTFELIO SUDĖČIAI NUSTATYTI OPTIMIZAVIMAS." Business: Theory and Practice 12, no. 1 (2011): 92–98. http://dx.doi.org/10.3846/btp.2011.10.

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The article examines the problem of determining asset allocation to sustainable retirement portfolio. The article attempts to apply heuristic method – 100 minus age in stocks rule – to determine asset allocation to sustainable retirement portfolio. Using dynamic stochastic simulation and stochastic optimization techniques the optimization of heuristic method rule is presented and the optimal alternative to „100“ is found. Seeking to reflect the stochastic nature of stock and bond returns and the human lifespan, the dynamic stochastic simulation models incorporate both the stochastic returns an

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4

Forsyth, Peter A., and Kenneth R. Vetzal. "Defined Contribution Pension Plans: Who Has Seen the Risk?" Journal of Risk and Financial Management 12, no. 2 (2019): 70. http://dx.doi.org/10.3390/jrfm12020070.

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The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare the outcomes of various asset allocation strategies for a typical DC plan investor. The strategies considered include constant proportion, linear glide path, and optimal dynamic (multi-period) time consistent quadratic shortfall approaches. The last of these is based on a double exponential jump diffus

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5

Forsyth, Peter A., Kenneth R. Vetzal, and Graham Westmacott. "OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION." ASTIN Bulletin 51, no. 3 (2021): 905–38. http://dx.doi.org/10.1017/asb.2021.19.

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AbstractWe 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

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6

Irfan, Muhammad, and Wee-Yeap Lau. "Asset Allocation and Performance of Malaysian Civil Service Pension Fund." Australasian Business, Accounting and Finance Journal 18, no. 1 (2024): 86–107. http://dx.doi.org/10.14453/aabfj.v18i1.06.

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Managing pension assets for defined benefit plans is a dynamic optimisation process between the strategic allocation and the future liabilities obligations. A pension fund's optimal asset and liability structure will eventually determine the pension fund's performance. This study examines the Civil Service Pension Fund, or Malaysia Incorporated Retirement Fund (KWAP). Using the data from 2007 to 2018, our results show: First, KWAP has invested in five main asset classes. Its asset allocation strategy shows an increased risk tolerance with greater weight in equities. Second, real estate is the

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7

Wang, Qinxin, Yuxin Tang, Yanyan Jin, Yutong Lai, Runyin Wang, and Yihua He. "Portfolio Establishment for Asset Allocation based on the Empirical Study." BCP Business & Management 26 (September 19, 2022): 956–72. http://dx.doi.org/10.54691/bcpbm.v26i.2058.

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The purpose of this study is to use Markowitz model and Single-factor index model to determine the optimal portfolio of S&P 500 and 6 stocks from 3 industries under 5 different constraints. The research is looked at stock prices on a daily basis from January 2000 to December 2020 and all data were obtained from secondary sources or non-participatory observation methods. Then this paper also considers the sensitive analysis to investigate the different impacts of factors. The sensitivity analysis tool used in this study was the Solver Table. Through calculation, the optimal portfolio ratio,

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8

Mkhize, Mkhethwa, and Vuyani Bekwa. "An investigation into the role of listed property shares in a retirement fund portfolio in South Africa." South African Journal of Economic and Management Sciences 12, no. 4 (2011): 392–400. http://dx.doi.org/10.4102/sajems.v12i4.185.

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The main aim of this research paper was to investigate the role of listed property shares in a retirement fund portfolio in South Africa, one objective being to determine the appropriate weightings to be allocated to listed property shares. This research paper uses data collected from January 1995 to December 2004. The Elton and Gruber computer programme is used to test the data to give optimal weightings to the listed property sector and to produce an efficient frontier. The results of this research paper demonstrated the benefits offered by listed property shares and revealed that the sector

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9

Cai, Zongwu, and Pixiong Chen. "Online Investor Sentiment via Machine Learning." Mathematics 12, no. 20 (2024): 3192. http://dx.doi.org/10.3390/math12203192.

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In this paper, we propose utilizing machine learning methods to determine the expected aggregated stock market risk premium based on online investor sentiment and employing the multifold forward-validation method to select the relevant hyperparameters. Our empirical studies provide strong evidence that some machine learning methods, such as extreme gradient boosting or random forest, show significant predictive ability in terms of their out-of-sample performances with high-dimensional investor sentiment proxies. They also outperform the traditional linear models, which shows a possible unobser

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10

Ali, Derow Aden. "The Intervening Effect of Investment Policies on the Relationship between Corporate Governance and Performance of Pension Fund Managers in Kenya." Journal of Public Policy & Governance 4, no. 1 (2022): 52–71. http://dx.doi.org/10.53819/81018102t2095.

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The pension fund is a common asset pool meant to generate stable growth over the long term, and provide pensions for employees when they reach the end of their working years and commence retirement. These targeted investments often require union built construction or are aimed at job creation and retention as in the case of private equity investments. Pension fund performance has received increased attention across the world with public pension fund performing dismally when compared to private pension fund.. This study sought to determine the intervening effect of investment policies on the re

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11

Akinsulire, Adetola Adewale, and Tochi Chimaobi Ohakawa. "Real Estate Portfolio Valuation Techniques to Unlock Funding for Affordable Housing." Journal of Frontiers in Multidisciplinary Research 4, no. 2 (2023): 52–67. https://doi.org/10.54660/.ijfmr.2023.4.2.52-67.

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Real estate portfolio valuation plays a critical role in unlocking funding for affordable housing projects. Investors, financial institutions, and policymakers rely on accurate valuation techniques to assess risk, determine asset value, and allocate capital efficiently. This study examines various valuation methods and their application in securing funding for affordable housing initiatives. Key valuation techniques include the cost approach, sales comparison approach, and income capitalization method. The cost approach estimates property value by considering the cost of land acquisition, cons

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12

Akinsulire, Adetola Adewale, and Tochi Chimaobi Ohakawa. "Real Estate Portfolio Valuation Techniques to Unlock Funding for Affordable Housing." International Journal of Multidisciplinary Research and Growth Evaluation 4, no. 2 (2023): 671–86. https://doi.org/10.54660/.ijmrge.2023.4.2.671-686.

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Real estate portfolio valuation plays a critical role in unlocking funding for affordable housing projects. Investors, financial institutions, and policymakers rely on accurate valuation techniques to assess risk, determine asset value, and allocate capital efficiently. This study examines various valuation methods and their application in securing funding for affordable housing initiatives. Key valuation techniques include the cost approach, sales comparison approach, and income capitalization method. The cost approach estimates property value by considering the cost of land acquisition, cons

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13

Chandra, Abhijeet, Kantesha Sanningammanavara, and A. Satya Nandini. "Does individual heterogeneity shape retail investor behaviour?" International Journal of Social Economics 44, no. 5 (2017): 578–93. http://dx.doi.org/10.1108/ijse-04-2015-0097.

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Purpose The purpose of this paper is to survey retail investors to study the determinants of their investment behaviour and show that individual heterogeneity and financial factors such as gender, age, educational status, income, and investment levels determine their trading behaviour across three domains; however, features such as marital status and occupation do not play any significant role in shaping their trading behaviour. Design/methodology/approach Structured surveys are conducted on retail and small investors using the brokerage services of a firm. Data collected from primary methods

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14

Kulanova, D. A., P. B. Sarsenbekova, and E. Tashov. "The Hypothesis of Stock Market Instruments: Modern Aspects, Forms and Anomalies." Qainar Journal of Social Science 1, no. 4 (2022): 21–34. http://dx.doi.org/10.58732/2958-7212-2022-4-6-21-34.

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The relevance of the results of the presented research is also related to their demand both from investors and issuers and from research scientists. For research scientists, the predictability of profitability or the lack of such predictability is crucial for creating models that would be able to accurately describe risks and profitability in financial markets. The methods and techniques used in the study allow us to determine the general trend of the market movement toward increasing or decreasing its efficiency. For investors, such an assessment of the effectiveness of the stock and bond mar

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15

Abdullah, Ahmad Ridhuwan, and Nur Adiana Hiau Abdullah. "Lipper’s rating and the performance of unit trusts in Malaysia." Studies in Economics and Finance 32, no. 3 (2015): 322–39. http://dx.doi.org/10.1108/sef-05-2012-0064.

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Purpose – The purpose of this paper is to examine the risk-adjusted performance of rated funds and determine the usefulness of Lipper Leader rating of unit trusts in Malaysia during the period 2000 to 2010. Design/methodology/approach – The paper utilizes the Sharpe ratio, Treynor ratio, Jensen’s alpha and Fama-French three-factor model to measure performance. Findings – During the period of study, the performance of the market index and risk-free rate outperformed that of 68 equity unit trust funds in the 3-year, 5-year and 10-year investment horizons. The ranking, based on four performance m

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16

Palit, Debjani, and Victor R. Prybutok. "A Study of Hierarchical Risk Parity in Portfolio Construction." Journal of Economic Analysis 3, no. 3 (2024). http://dx.doi.org/10.58567/jea03030006.

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<p style="text-align: justify;"><span style="font-family: verdana, geneva, sans-serif;">The construction and optimization of a portfolio is a complex process that has been a historically active research area in finance. For portfolios with highly correlated assets, the performance of traditional risk-based asset allocations methods such as the mean-variance (MV) model is limited when numerous assets are correlated. A novel clustering-based asset allocation method, called Hierarchical Risk Parity (HRP), provides an opportunity to mitigate these limitations in portfolio construction.

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17

-, Preeti Bhide. "A Linear Programming Approach to Invest Provident Fund of Retirees." International Journal For Multidisciplinary Research 6, no. 6 (2024). https://doi.org/10.36948/ijfmr.2024.v06i06.33283.

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Old age is an unavoidable period in everyone’s life. Although, it cannot be avoided everyone tries to make it easier at least by financially by proper pre-planning. Many government employees in India have pensions but the people working in private sector do not get it. But they receive a one-time Provident Fund (PF) at the time of retirement. This paper proposes a Linear Programming (LP) model to help retired individuals to strategically invest their Provident Fund in multiple asset classes. By considering factors such as risk, amount of investment and return rates, the model provides optimize

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18

Opalchuk, Ruslana, and Bogdan Nevgad. "METHODS OF DEPOSIT PORTFOLIO FORMATION AS AN INSTRUMENT OF THE BANK’S RESOURCE POLICY." Bioeconomics and agrarian business 15, no. 2 (2024). http://dx.doi.org/10.31548/economics15(2).2024.066.

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The article examines the role of the deposit portfolio in providing the resource base of a commercial bank. The theoretical aspects of forming the deposit portfolio, its components, and influencing factors are considered. To determine the financial stability and the bank’s ability to provide loans and invest funds in various types of assets, an analysis of the relationships between the bank’s resource policy and its deposit portfolio has been conducted. Methods and strategies influencing the formation of the deposit portfolio and its role as an important instrument of resource policy are inves

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19

Liu, Yaxuan, Yu Hao, and Zhi-Nan Lu. "Health shock, medical insurance and financial asset allocation: evidence from CHFS in China." Health Economics Review 12, no. 1 (2022). http://dx.doi.org/10.1186/s13561-022-00400-z.

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Abstract Background As health care cost is taking an increasingly substantial proportion of national wealth, health shocks and the subsequent medical expenditures have become increasingly vital contributions to financial risks. However, the individual or combined effects of social and financial medical insurance on household financial behaviors are poorly understood. This research aims to examine the effect of health shocks on financial asset mobility and portfolio allocation of the household. Also, whether medical insurance positively affects the financial market will be analyzed. Methods Lin

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20

Sallan, Alfonso Luigi Miguel, and Eleanor Gemida. "Performance Analysis of a Philippine REIT and Its Optimal Allocation in a Mixed-asset Portfolio." Philippine Journal of Science 151, no. 3 (2022). http://dx.doi.org/10.56899/151.03.35.

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Real estate investment trusts (REIT) are new and potentially lucrative investment vehicles in the Philippines with their inherent risks and rewards. Understanding their behavior and characteristics allows investors to maximize their profits and mitigate their risks. This study specifically considers the Ayala REIT (AREIT) and aims to conduct a performance analysis on it. The study used daily closing quotes of AREIT, Philippine Stock Exchange index and sectoral indices, S&P Philippine bond index, and monthly Philippine treasury bill from August 2020–April 2021. By using established methods

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