Decision Rules and Maximum Initial Withdrawal Rates
Decision Rules and Maximum Initial Withdrawal Rates
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决策规则和最高初始提款率
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
W. Klinger
中科院分区：
文献类型：
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作者：
Jonathan T. Guyton;W. Klinger
本文使用随机（蒙特卡罗）分析来测试由合著者Jonathan Guyton （Journal of Financial Planning， 2004年10月）建立的决策规则，该规则建立了比先前研究报告更高的初始提款率。投资回报和风险模型基于两个不同的投资数据时期：1973-2004年（与盖顿2004年相匹配）和1928 - 2004年。论文测试了三种股权配置：50%、65%和80%。本文制定了信心标准来衡量维持至少40年的初始撤资率的概率和撤资期间维持的购买力百分比。本文保留了原始作品中的投资组合管理和提款规则，并删除了通货膨胀规则（限制年度通货膨胀调整）。它发展了两个新的决策规则——资本保全规则和繁荣规则，当市场条件导致初始提款率显著上升或下降时，它们充当“金融护栏”。本文的结论是，在99%的置信度标准下，对于包含至少65%股票的投资组合，5.2% - 5.6%的初始提现率是可持续的。80%的股权配置在成功率略低的情况下提供了更大的购买力维持，但50%的股权配置，最大初始提现率降至4.6%。这两个数据周期提供了几乎相同的结果。持续应用这两个新的决策规则有效地消除了耗尽退休资产的风险。
This paper uses stochastic (Monte Carlo) analysis to test the decision rules established by coauthor Jonathan Guyton (Journal of Financial Planning, October 2004), which established higher initial withdrawal rates than reported in previous research. Investment return and risk modeling are based on two different investment data periods: 1973–2004 (to match Guyton 2004) and 1928– 2004. The paper tests three equity allocations: 50 percent, 65 percent, and 80 percent. The paper develops confidence standards to measure the probability of sustaining an initial withdrawal rate for at least 40 years and the percentage of purchasing power maintained during the withdrawal period. The paper retains the portfolio management and withdrawal rules from the original work, and eliminates the inflation rule (which caps annual inflationary adjustments). It develops two new decision rules—the capital preservation rule and the prosperity rule—which act as "financial guardrails" when market conditions cause the initial withdrawal rate to rise or fall significantly. The paper concludes that initial withdrawal rates of 5.2–5.6 percent are sustainable at the 99 percent confidence standard for portfolios containing at least 65 percent equities. The 80 percent equity allocation provides greater purchasing power maintenance at slightly lower success rates, but with 50 percent equities, maximum initial withdrawal rates drop to as low as 4.6 percent. The two data periods provide virtually identical results. Consistently applying the two new decision rules effectively eliminates the risk of exhausting retirement assets.