Patent ID: 7120601

Claim:
A method for allocating assets of an investor portfolio among annuity and nonannuity assets, comprising the steps of: retrieving at least one probability of survival of the investor; selecting a utility of consumption and a utility of bequest of the investor; retrieving for each of a plurality of nonannuity assets, an expected rate of return, the nonannuity assets having expected rates of return which are different from each other; retrieving, for each of a plurality of annuity assets, an expected rate of return, the annuity assets having expected rates of return which are different from each other; maximizing by a computer an objective utility function as the sum of a utility of a live state and a utility of a dead state given the retrieved rates of return by adjusting the values of a plurality of investment weighting factors each corresponding to a nonannuity asset or an annuity asset, said maximizing step performed in multiple iterations; and allocating assets in the portfolio to the nonannuity assets and the annuity assets according to receptive ones of the investment weighting factors.