asset allocation, time diversification and portfolio optimization for retirement多样化和投资组合优化资产配置,时间退休.pdfVIP

Technology and Investment, 2011, 2, 92-104 doi:10.4236/ti.2011.22010 Published Online May 2011 (http://www.SciRP.org/journal/ti) Asset Allocation, Time Diversification and Portfolio Optimization for Retirement Kamphol Panyagometh NIDA Business School, Bangkok, Thailand E-mail : kpanyagometh@, kpanyago@ Received February 17, 2011; revised April 6, 2011; accepted April 10, 2011 Abstract Using the data of stock, commodity and bond indexes from 2002 to November 2010, this research was car- ried out by employing Bootstrapping Simulation technique to find an optimal portfolio (portfolio optimiza- tion) for retirement, and the effect of diversification based on increased length of investment period (time diversification) with respect to the lengths of retirement investment period and the amounts required for spending after retirement in various occasions. The study analyzed for an optimal allocation of common stock, commodity and government bond to achieve the target rate of return for retirement by minimizing the portfolio risk as measured from the standard deviation. Apart from the standard deviation of the rate of return of the investment portfolio, this study also viewed the risk based on the Value at Risk concept to study the downside risk of the investment portfolio for retirement. Keywords: Asset Allocation, Time Diversification, Portfolio Optimization, Bootstrapping Simulation 1. Introduction bond in investment portfolio (portfolio optimization) for retirement, and the effect of diversification based on in- Nowadays the structure of Thai society is