Determining asset allocation of sustainable investment portfolio for retirement period

Aušra Klimavičienė

Doctoral dissertation

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Description

The dissertation investigates the issues of determining asset allocation of sustainable investment portfolio for retirement period. The main object of research is optimal asset allocation of investment portfolio during retirement including methods employed to determine optimal asset allocation of portfolio, incorporation of stochastic variables into portfolio optimization model as the sustainability of portfolio during retirement is highly determined by above mentioned research objects. The primary purpose of this dissertation is is to explore relevant problems of retirement planning and portfolio management during retirement period including selection of method employed to determine asset allocation of portfolio, ensuring the sustainability of portfolio, the reduction of retirement risks. In virtue of research results the solutions to the portfolio management problems under investigation  were suggested.

The paper approaches a few major tasks such as analysis of the methods employed to determine asset allocation of investment portfolio for retirement period, portfolio sustainability testing with historical data, and development of new alternative method to determine asset allocation of investment portfolio for retirement period.

The dissertation consists of Introduction, 5 chapters, Conclusions, References, List of Publications and 20 Annexes.

The introduction reveals the investigated problem, importance of the thesis and the object of research and describes the purpose and tasks of the paper, research methodology, scientific novelty, the practical significance of results examined in the paper and defended statements. The introduction ends in presenting the author’s publications on the subject of the defended dissertation and defining the structure of the dissertation.

Chapter 1 is devoted to the review of literature. Chapter 2 focuses on the analysis of the methods in fixed retirement planning horizon framework. In Chapter 3 stochastic lifetime is being incorporated into the stochastic research models, research methodology and results are being presented. Chapter 4 reveals the portfolio sustainability testing results. Chapter 5 suggests the original method to be applied to determine asset allocation of sustainable investment portfolio, review the sustanability of portfolios formed using analyzed methods and provides the recommendations for methods application in practice and highlights the directions for further research.

8 articles focusing on the subject of the dissertation are published: six articles - in the scientific papers, one article – in the material reviewed during international conferences, one article – in the material of conference.

Read electronic version of the book:

DOI: https://doi.org/10.20334/1948-M

Book details

Data sheet

Year:
2011
ISBN:
978-609-457-032-2
Imprint No:
1948-M
Dimensions:
160×230 mm
Pages:
172 p.
Cover:
Softcover
Language:
Lithuanian
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