DOI
https://doi.org/10.25772/BTGT-CK86
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