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Full metadata record
DC Field | Value | Language |
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dc.citation.endPage | 1615 | - |
dc.citation.number | 11 | - |
dc.citation.startPage | 1597 | - |
dc.citation.title | QUANTITATIVE FINANCE | - |
dc.citation.volume | 23 | - |
dc.contributor.author | Bae, Sanghyeon | - |
dc.contributor.author | Lee, Yongjae | - |
dc.contributor.author | Kim, Woo Chang | - |
dc.date.accessioned | 2023-12-21T11:44:13Z | - |
dc.date.available | 2023-12-21T11:44:13Z | - |
dc.date.created | 2023-10-05 | - |
dc.date.issued | 2023-11 | - |
dc.description.abstract | Financial products for retirement planning generally have complex taxation structures and death conditions. In particular, tax-deferred accounts (TDAs) can provide tax-sheltered wealth accumulation by deferring taxes, even with the same financial products. Additionally, various survival-contingent products (SCPs), such as annuity products and life insurance contracts, have different payouts for policyholders. In this study, considering both the TDA and SCPs, we formulate and solve a couple’s lifetime portfolio choice problem using a multistage stochastic programming model. Owing to its high-dimensional state space and lifelong planning periods, stochastic dual dynamic programming (SDDP) was used to solve this problem. We find some interesting results; when both the TDA and SCPs are available, the portfolio is less concentrated in annuity holdings than when the TDA is unavailable. Moreover, the couple ends their contribution to the TA earlier than when SCPs are unavailable. | - |
dc.identifier.bibliographicCitation | QUANTITATIVE FINANCE, v.23, no.11, pp.1597 - 1615 | - |
dc.identifier.doi | 10.1080/14697688.2023.2252852 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.scopusid | 2-s2.0-85171757543 | - |
dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/65904 | - |
dc.identifier.wosid | 001069423400001 | - |
dc.language | 영어 | - |
dc.publisher | Institute of Physics Publishing | - |
dc.title | Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products | - |
dc.type | Article | - |
dc.description.isOpenAccess | FALSE | - |
dc.relation.journalWebOfScienceCategory | Business, Finance;Economics;Mathematics, Interdisciplinary Applications;Social Sciences, Mathematical Methods | - |
dc.relation.journalResearchArea | Business & Economics;Mathematics;Mathematical Methods In Social Sciences | - |
dc.type.docType | Article | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.subject.keywordAuthor | Retirement planning | - |
dc.subject.keywordAuthor | Tax-deferred accounts | - |
dc.subject.keywordAuthor | Survival-contingent products | - |
dc.subject.keywordAuthor | Life insurance | - |
dc.subject.keywordAuthor | Immediate annuities | - |
dc.subject.keywordAuthor | Stochastic dual dynamic programming | - |
dc.subject.keywordPlus | CYCLE ASSET ALLOCATION | - |
dc.subject.keywordPlus | LIFE-INSURANCE | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | CONSUMPTION | - |
dc.subject.keywordPlus | GENERATION | - |
dc.subject.keywordPlus | ANNUITIES | - |
dc.subject.keywordPlus | TAXATION | - |
dc.subject.keywordPlus | SAVINGS | - |
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