We study the effect on savings of an increase in the capital risk of the investment opportunities when the … individuals with high risk-aversion and time-separable, power utility increase their optimal savings when capital risk increases …

plans typically must fund spending from accumulated savings. This leads to the risk of depleting these savings, i ….e.portfolio depletion risk. We analyze the management of this risk through life cycle optimal dynamic asset allocation, including the … objective functions are tested and compared. We focus on the risk of portfolio depletion at the terminal date, using such …

uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a …