093064 (E25) Alternative retirement income arrangements and lifetime income inequality: Lessons from Australia : Atkinson M.E., Creedy J., Knox D.M., Research Paper number 43, Center for Actuarial Studies, The University of Melbourne, Australia, 1977

• Publisher: Elsevier Science
• Year: 1997
• Tongue: English
• Weight: 176 KB
• Volume: 20
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(97)89218-9

✦ Synopsis

Abstracts and Reviews

and also for the boundaries of the no-transactions region. The economy consists of a single risky asset and a riskless asset. Transactions in the risky asset incur proportional transaction costs. The investor has a power utility function and is assumed to maximize expected utility of end-of-period wealth. We illustrate the solution procedure in the case in which the returns on the risky asset follow a multiplicative binomial process. Our paper both complements and extends the recent work by Gennotte and Jung (1994), which used numerical approximations to tackle this problem.