Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
研究了夫妻在同时拥有税收递延账户和生存依赖产品（如年金和人寿保险）时，如何通过多阶段随机规划模型做出最优终身投资组合选择，发现这些产品会降低年金持有集中度并提前停止缴款。
Financial products for retirement planning generally have complex taxation structures and death conditions. In particular, tax-deferred accounts (TDAs) can provide tax-sheltered wealth accumulation by deferring taxes, even with the same financial products. Additionally, various survival-contingent products (SCPs), such as annuity products and life insurance contracts, have different payouts for policyholders. In this study, considering both the TDA and SCPs, we formulate and solve a couple’s lifetime portfolio choice problem using a multistage stochastic programming model. Owing to its high-dimensional state space and lifelong planning periods, stochastic dual dynamic programming (SDDP) was used to solve this problem. We find some interesting results; when both the TDA and SCPs are available, the portfolio is less concentrated in annuity holdings than when the TDA is unavailable. Moreover, the couple ends their contribution to the TA earlier than when SCPs are unavailable.