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The Journal of Retirement

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Optimizing Retirement Income:
An Adaptive Approach Based on Assets and Liabilities

Yuan-An Fan, Steve Murray and Sam Pittman
The Journal of Retirement Summer 2013, 1 (1) 124-135; DOI: https://doi.org/10.3905/jor.2013.1.1.124
Yuan-An Fan
is a senior research analyst at Russell Investments in Seattle, WA.
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  • For correspondence: yfan@russell.com
Steve Murray
is a director of asset allocation at Russell Investments in Seattle, WA.
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  • For correspondence: smurray@russell.com
Sam Pittman
is a senior research analyst at Russell Investments in Seattle, WA.
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  • For correspondence: spittman@russell.com
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Abstract

Many retirees’ financial resources are insufficient to sustain their desired expenditures, which makes clear the need for more efficient retirement asset allocation strategies. We propose an approach to retirement investing that directly incorporates spending targets within a multiperiod framework that improves performance with respect to spending sustainability and bequest motives. We propose an “adaptive” model, which is dynamic and allows for recourse decisions and permits changes in asset allocation in response to market outcomes as the retiree ages. Practitioners can use the adaptive model to increase the sustainability of their clients’ spending and the funding of bequests, thereby enhancing their clients’ welfare in their later years.

TOPICS: Portfolio construction, performance measurement, retirement

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The Journal of Retirement: 1 (1)
The Journal of Retirement
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Optimizing Retirement Income:
An Adaptive Approach Based on Assets and Liabilities
Yuan-An Fan, Steve Murray, Sam Pittman
The Journal of Retirement Jun 2013, 1 (1) 124-135; DOI: 10.3905/jor.2013.1.1.124

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Optimizing Retirement Income:
An Adaptive Approach Based on Assets and Liabilities
Yuan-An Fan, Steve Murray, Sam Pittman
The Journal of Retirement Jun 2013, 1 (1) 124-135; DOI: 10.3905/jor.2013.1.1.124
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  • Article
    • Abstract
    • THE ADAPTIVE MODEL AND SIMPLIFIED EXAMPLE
    • RESULTS OF THE ADAPTIVE MODEL AND ITS COMPARISON TO BUY-AND-HOLD AND FIXED-MIX ASSET ALLOCATION POLICIES
    • RISK-TAKING DYNAMICS OF THE ADAPTIVE MODEL
    • IMPLEMENTATION
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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