RT Journal Article
SR Electronic
T1 Analytic Approximation for the Probability That a Portfolio Survives Forever
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 43
OP 47
DO 10.3905/jwm.1999.320343
VO 1
IS 4
A1 McCabe, Bernard J.
YR 1999
UL http://jwm.pm-research.com/content/1/4/43.abstract
AB The author investigates the interaction between the uncertainty of actual returns and the ability of a given asset allocation to allow a portfolio both to provide for current income needs and to generate enough real returns to meet future income needs (i.e., growth). The author derives a formula that measures the probability that the portfolio survives indefinitely, given annual disbursement assumptions. This formulation could be useful, for instance, in the definition of the investment and distribution parameters for charitable trusts.