The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

References

• Basak, S. and Chabakauri, G., Dynamic mean-variance asset allocation. Rev. Financial Stud., 2010, 23, 2970–3016.
   Web of Science ®Google Scholar
• Bengen, W., Determining withdrawal rates using historical data. J. Financial Planning, 1994, 7, 171–180.
   Google Scholar
• Björk, T., Arbitrage Theory in Continuous Time, 3rd ed., 2009 (Oxford University Press: New York).
   Google Scholar
• Cont, R. and Mancini, C., Nonparametric tests for pathwise properties of semimartingales. Bernoulli, 2011, 17, 781–813.
   Web of Science ®Google Scholar
• Cui, X., Li, D., Wang, S. and Zhu, S., Better than dynamic mean-variance: Time-inconsistency and free cash flow stream. Math. Finance, 2012, 22, 346–378.
   Web of Science ®Google Scholar
• Dang, D.M. and Forsyth, P.A., Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach. Num. Methods Partial Differ. Equ., 2014, 30, 664–698.
   Web of Science ®Google Scholar
• Dang, D.M. and Forsyth, P.A., Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton--Jacobi--Bellman equation approach. Eur. J. Oper. Res., 2016, 250, 827–841.
   Web of Science ®Google Scholar
• Dang, D.M., Forsyth, P.A. and Li, Y., Convergence of the embedded mean-variance optimal points with discrete sampling. Numerische Mathematik, 2016, 132, 271–302.
   Web of Science ®Google Scholar
• Forsyth, P.A. and Vetzal, K.R., Robust asset allocation for long-term target-based investing, Working Paper, Cheriton School of Computer Science, University of Waterloo, 2016.
   Google Scholar
• Graham, B. The Intelligent Investor, 2014 (HarperBusiness: New York).
   Google Scholar
• Honore, P., Pitfalls in estimating jump diffusion models. Working Paper, Center for Analytical Finance, University of Aarhus, 1998.
   Google Scholar
• Horneff, W., Maurer, R. and Rogalia, R., Dynamic portfolio choice with deferred annuities. J. Banking Finance, 2010, 34, 2652–2664.
   Web of Science ®Google Scholar
• Li, D. and Ng, W.-L., Optimal dynamic portfolio selection: Multiperiod mean variance formulation. Math. Finance, 2000, 10, 387–406.
   Web of Science ®Google Scholar
• Ma, K. and Forsyth, P., Numerical solution of the Hamilton--Jacobi--Bellman formulation for continuous time mean variance asset allocation under stochastic volatility. J. Comput. Finance, 2016, forthcoming.
   Web of Science ®Google Scholar
• Mancini, C., Non-parametric threshold estimation models with stochastic diffusion coefficient and jumps. Scand. J. Stat., 2009, 36, 270–296.
   Web of Science ®Google Scholar
• Merton, R., Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 1976, 3, 125–144.
   Web of Science ®Google Scholar
• Milevsky, M. and Huang, H., Spending retirement on the planet Vulcan: The impact of longevity risk aversion on optimal withdrawal rates. Financial Anal. J., 2011, 67, 45–58.
   Web of Science ®Google Scholar
• Milevsky, M. and Young, V., Annuitization and asset allocation. J. Econ. Dyn. Control, 2007, 31, 3138–3177.
   Web of Science ®Google Scholar
• Milevsky, M.A. and Salisbury, T.S., Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Math. Econ., 2006, 38, 21–38.
   Web of Science ®Google Scholar
• Navas, J., On jump diffusion processes for asset returns. Working Paper, Instituto de Empresa, 2000.
   Google Scholar
• Øksendal, B. and Sulem, A., Applied Control of Jump Diffusions, 2009 (Springer).
   Google Scholar
• Scott, J., Sharpe, W.F. and Watson, J., The 4% rule-at what price? J. Investment Manage., 2009, 7, 31–48.
   Google Scholar
• Tse, S., Forsyth, P. and Li, Y., Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization. SIAM J. Control Optim., 2014, 52, 1527–1546.
   Web of Science ®Google Scholar
• Vigna, E., On the efficiency of mean-variance based portfolio selection in defined contibution pension schemes. Quant. Finance, 2014, 14, 237–258.
   Web of Science ®Google Scholar
• Wang, J. and Forsyth, P., Comparison of mean variance like strategies for optimal asset allocation problems. Int. J. Theor. Appl. Finance, 2012, 15., 2. doi:10.1142/S0219024912500148.
   Google Scholar
• Wang, J. and Forsyth, P.A., Continuous time mean variance asset allocation: A time-consistent strategy. Eur. J. Oper. Res., 2011, 209, 184–201.
   Web of Science ®Google Scholar
• Zhou, X. and Li, D., Continuous time mean variance portfolio selection: A stochastic LQ framework. Appl. Math. Optim., 2000, 42, 19–33.
   Web of Science ®Google Scholar