We extend the Annually Recalculated Virtual Annuity (ARVA) spending rule for retirement savings decumulation (Waring and Siegel (2015) Financial Analysts Journal, 71(1), 91–107) to include a cap and a floor on withdrawals. With a minimum withdrawal constraint, the ARVA strategy runs the risk of depleting the investment portfolio. We determine the dynamic asset allocation strategy which maximizes a weighted combination of expected total withdrawals (EW) and expected shortfall (ES), defined as the average of the worst 5% of the outcomes of real terminal wealth. We compare the performance of our dynamic strategy to simpler alternatives which maintain constant asset allocation weights over time accompanied by either our same modified ARVA spending rule or withdrawals that are constant over time in real terms. Tests are carried out using both a parametric model of historical asset returns as well as bootstrap resampling of historical data. Consistent with previous literature that has used different measures of reward and risk than EW and ES, we find that allowing some variability in withdrawals leads to large improvements in efficiency. However, unlike the prior literature, we also demonstrate that further significant enhancements are possible through incorporating a dynamic asset allocation strategy rather than simply keeping asset allocation weights constant throughout retirement.

中文翻译：

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具有可变支出和动态资产分配的退休投资组合减值的最佳控制

我们将每年重新计算的虚拟年金 (ARVA) 支出规则扩展为退休储蓄递减（Waring and Siegel (2015)金融分析师杂志,71(1), 91–107) 包括提款上限和下限。在最小提款约束条件下，ARVA 策略冒着耗尽投资组合的风险。我们确定动态资产配置策略，该策略最大化预期总提款 (EW) 和预期短缺 (ES) 的加权组合，定义为实际终端财富最差 5% 的结果的平均值。我们将我们的动态策略的性能与更简单的替代方案进行比较，这些替代方案随着时间的推移保持恒定的资产分配权重，伴随着我们相同的修改后的 ARVA 支出规则或随着时间的推移实际不变的提款。使用历史资产回报的参数模型以及历史数据的自举重采样来进行测试。与先前使用与 EW 和 ES 不同的奖励和风险度量的文献一致，我们发现允许取款的一些可变性会导致效率的大幅提高。然而，与先前的文献不同，我们还证明，通过结合动态资产分配策略，而不是简单地在整个退休期间保持资产分配权重不变，可以进一步显着增强。