We investigate optimal investment and drawdown decisions in retirement, and show that the asset mix and drawdown strategy vary significantly with financial circumstances and preferences. Loss aversion preferences lead to hedging strategies to secure the target consumption through use of...

This article sets out principles and decision rules for setting appropriate drawdown and investment strategies during retirement given an individual’s objectives and risk tolerance. In particular, we highlight how the suitable drawdown strategy can relate to the objective, and how annuities...

This paper considers an alternative way of structuring stochastic variables in a dynamic programming framework where the model structure dictates that numerical methods of solution are necessary. Rather than estimating integrals within a Bellman equation using quadrature nodes, we use nodes...

This paper considers an alternative way of structuring stochastic variables in a dynamic programming framework where the model structure dictates that numerical methods of solution are necessary. Rather than estimating integrals within a Bellman equation using quadrature nodes, we use nodes...

We deploy a stochastic life-cycle model to examine how differing levels of the superannuation guarantee (SG) impact on the welfare of individual Australians under existing superannuation, tax and pension eligibility rules. Our main focus is the effect of various assumptions on the optimal SG,...

We investigate the conditions under which life-cycle investment strategies based on age may be ‘near enough' to optimal, focusing on the treatment of the pension account balance and assumptions about risk aversion. We show that dynamically adjusting the strategy in response to fluctuations in...