Defense Date

2014

Document Type

Thesis

Degree Name

Master of Science

Department

Mathematical Sciences

First Advisor

Edward Boone

Abstract

The aim of the thesis is to construct an effective realistic retirement income plan for an individual investor. We propose realistic frameworks with specific inputs given by investor such as number of investment instruments, income, and length of the time period before retirement using Modern Portfolio theory. The aim is to develop a retirement framework using fundamentals of Modern Portfolio Theory as per investor’s needs on asset allocation assuming investor’s risk appetite reduces as he ages in life and worries for real retirement income planning by comparing different statistical models scenarios. In each of the Scenarios we have 3 changing probability profile scenarios to allow for flexibility to the investor to withdraw from the portfolio for personal needs with increasing probability, decreasing probability and uniform probability of withdrawal throughout the portfolio investment time horizon. The results clearly reveal that there is no one best model for different investors as each investor is different with different objective functions. The results also show that, Traditional method and Bootstrapping scenario results are not always the same implying investor should not expect historical returns from the securities to reflect the future.

Rights

© The Author

Is Part Of

VCU University Archives

Is Part Of

VCU Theses and Dissertations

Date of Submission

May 2014

Available for download on Monday, May 13, 2019

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