caa a22 4500 606232982 CHVBK 20210128101230.0 cr unu---uuuuu 210128e20150701xx s 000 0 eng 10.1007/s10287-015-0234-1 doi (NATIONALLICENCE)springer-10.1007/s10287-015-0234-1 Optimal annuity portfolio under inflation risk [Elektronische Daten] [Agnieszka Konicz, David Pisinger, Alex Weissensteiner] The paper investigates the importance of inflation-linked annuities in retirement planning. Given nominal, inflation-linked, and variable annuities, as well as bonds and stocks, we search for optimal consumption and investment decisions under two different objective functions: (1) maximization of expected utility of real consumption, and (2) minimization of expected deviations from an inflation-adjusted target. When optimizing the objective, we allow for rebalancing the portfolio during retirement by buying additional annuities and by trading bonds and stocks. To find the optimal solution, we apply a multi-stage stochastic programming approach. Our findings indicate that independently of the considered objective function, real annuities are a crucial asset in every portfolio. In addition, without investing in real annuities, the retiree has to rebalance the portfolio more frequently, and still obtains a lower and more volatile real consumption. Springer-Verlag Berlin Heidelberg, 2015 Inflation-linked annuity nationallicence Retirement planning nationallicence CRRA utility nationallicence Loss disutility nationallicence Multi-stage stochastic programming nationallicence Konicz Agnieszka DTU Management Engineering, Management Science, Technical University of Denmark, Produktionstorvet 426, 2800 Kgs., Lyngby, Denmark aut Pisinger David DTU Management Engineering, Management Science, Technical University of Denmark, Produktionstorvet 426, 2800 Kgs., Lyngby, Denmark aut Weissensteiner Alex DTU Management Engineering, Management Science, Technical University of Denmark, Produktionstorvet 426, 2800 Kgs., Lyngby, Denmark aut Computational Management Science Springer Berlin Heidelberg 12/3(2015-07-01), 461-488 1619-697X 12:3<461 2015 12 10287 https://doi.org/10.1007/s10287-015-0234-1 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10287-015-0234-1 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Konicz Agnieszka DTU Management Engineering, Management Science, Technical University of Denmark, Produktionstorvet 426, 2800 Kgs., Lyngby, Denmark aut NATIONALLICENCE 700 1- Pisinger David DTU Management Engineering, Management Science, Technical University of Denmark, Produktionstorvet 426, 2800 Kgs., Lyngby, Denmark aut NATIONALLICENCE 700 1- Weissensteiner Alex DTU Management Engineering, Management Science, Technical University of Denmark, Produktionstorvet 426, 2800 Kgs., Lyngby, Denmark aut NATIONALLICENCE 773 0- Computational Management Science Springer Berlin Heidelberg 12/3(2015-07-01), 461-488 1619-697X 12:3<461 2015 12 10287