Asset Allocation und Shortfall Risk nach der Pensionierung : Eine Untersuchung von Risiko- und Rendite-Eigenschaften mittels Monte Carlo Simulationen
Creators: name: Häller, Corinne
name: Hobein, Günter A.
Publisher: name: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Year: 2008
Subjects: Asset Allocation
Optimisation
Retirement
Simulation
Asset Allokation
Pensionierung
Monte Carlo
Optimierung
332: Finanzwirtschaft
360: Soziale Probleme und Sozialversicherungen

description: Before retirement, the composition of the portfolio is usually changed to include relatively secure assets. Products such as life cycle and target date funds have been set up with this in mind. This paper addresses the question of whether it is sensible for wealthy private clients to change to a risk-free investment strategy as soon as they reach (early) retirement and how generational, individual expectations and the economic climate impact the decision to change strategy in one direction or the other.

In the first part of the paper, the income and assets of the generations in the life cycle are examined; this involves assessing empirical findings, life cycle models, changing consumer expenditure as clients grow older and the effects of an ageing society in industrialised nations on the financial markets.

The practical component of the paper focuses on using Monte Carlo simulations to calculate how to manage six portfolios, which have different asset allocations depending on the risk/return profile, in the post-retirement phase. This takes into account withdrawals, inflation, costs, taxation and currency hedging. Annualised return is used to measure the performance of individual investment strategies and the Sharpe Ratio is used to measure risk-adjusted return. Volatility, shortfall risk and historical stress tests are taken as the measures of risk.
description: Die Portfoliozusammensetzung wird normalerweise auf den Pensionierungszeitpunkt hin zu relativ sicheren Assets verschoben. Nach diesem Mechanismus werden auch Produkte wie Life-Cycle- oder Target-Date-Fonds gestaltet. In dieser Arbeit wird der Frage nachgegangen, ob die Umschichtung in eine risikolose Anlagestrategie für vermögende Privatkunden bereits ab Erreichen der (Früh-)Pensionierung sinnvoll ist und wie generationsbedingte, individuelle Erwartungen sowie die Entwicklung der wirtschaftlichen Rahmenbedingungen eine Umschichtung in die eine oder andere Richtung bewirken.

Untersucht werden zuerst Einkommen und Vermögen der Generationen im Lebenszyklus: Empirische Befunde, Life-Cycle-Modelle, veränderte Konsumausgaben durch Alterung und Auswirkungen der alternden Gesellschaft in Industrieländern auf die Finanzmärkte.

Im praktischen Teil der Arbeit wird mittels Monte Carlo Simulationen berechnet, wie sich sechs Portfolios mit unterschiedlicher Asset Allocation hinsichtlich Rendite und Risiko über die Nachpensionierungsphase entwickeln. Dabei werden Einflussfaktoren wie Entnahmen, Inflation, Kosten, Steuern sowie Währungsabsicherung berücksichtigt. Als Renditemasse für die einzelnen Anlagestrategien werden die annualisierten Renditen und als risikoadjustierte Kennzahl die Sharpe Ratios ausgewiesen. Als Risikomasse fliessen Volatilität, Shortfall Risk und historische Stress Tests ein.
description: Before retirement, the composition of the portfolio is usually changed to include relatively secure assets. Products such as life cycle and target date funds have been set up with this in mind. This paper addresses the question of whether it is sensible for wealthy private clients to change to a risk-free investment strategy as soon as they reach (early) retirement and how generational, individual expectations and the economic climate impact the decision to change strategy in one direction or the other.

In the first part of the paper, the income and assets of the generations in the life cycle are examined; this involves assessing empirical findings, life cycle models, changing consumer expenditure as clients grow older and the effects of an ageing society in industrialised nations on the financial markets.

The practical component of the paper focuses on using Monte Carlo simulations to calculate how to manage six portfolios, which have different asset allocations depending on the risk/return profile, in the post-retirement phase. This takes into account withdrawals, inflation, costs, taxation and currency hedging. Annualised return is used to measure the performance of individual investment strategies and the Sharpe Ratio is used to measure risk-adjusted return. Volatility, shortfall risk and historical stress tests are taken as the measures of risk.