Asset Allocation and the Optimization Portfolio Choice for the Retired Firefighter

DOI

10.2991/978-94-6463-052-7_167How to use a DOI?

Keywords

portfolio management; asset allocation; Fama-French Three Factor model; personal tailor

Abstract

Asset allocation and portfolio management have become quite important as the fast development of the global finance and the tremendous improvement of people’s life. This paper aims at helping the retired firefighter employ his pension to allocate the assets and find the optimization of the portfolio. He has 2 different choices and the paper also need to make a comparison of them based on the quantitative analysis. In this paper, the Fama-French 3 Factor model is used to run the regression of the historical data between different assets and the influential factors to illustrate the features of each asset. Under the construction of the mean-variance analysis, it helps form the optimization of the portfolio, meanwhile, with the help of solver, the maximized Sharpe ratio is calculated. Then, the biggest Sharpe ratio of the 2 different choices and the corresponding weights of the assets are shown. The final results show that taking the pension benefit and investing his nest-egg to supplement the pension benefit is a better choice than gaining all the money at one time and investing it to the market because of the lower standard deviation. The results can be applied to the portfolio management of the retirees which are of great practical significance.

Copyright

© 2022 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Anbo Wang
PY  - 2022
DA  - 2022/12/27
TI  - Asset Allocation and the Optimization Portfolio Choice for the Retired Firefighter
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 1513
EP  - 1520
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_167
DO  - 10.2991/978-94-6463-052-7_167
ID  - Wang2022
ER  -