optimalLC: Optimizer to maximize Expected Utility
In sstoeckl/pensionfinanceLi: Optimal Pension Decisions in Liechtenstein

Description Usage Arguments Value Examples

Here we minimize negative expected utility (given by function 'util()'). Parameters can be fixed by setting "tight" boundaries

optimalLC(
  initial_values,
  upper_bounds,
  lower_bounds,
  ret_age,
  ra,
  delta,
  beta,
  c_age,
  gender,
  gender_mortalityTable,
  w0,
  CF,
  li,
  lg,
  c1,
  s1,
  s2,
  s3,
  w2,
  rho2,
  rho3,
  ret,
  retr,
  psi,
  verbose = FALSE,
  warnings = FALSE,
  trace = 0,
  reltol = sqrt(.Machine$double.eps)
)

`initial_values`	Starting values c(ret_age, c, c2, nu2, nu3, alpha, w3)
`upper_bounds`	Upper bounds for optimization
`lower_bounds`	Lower bounds for optimization
`c_age`	Given variable: the investor's current age (assuming birthday is calculation-day)
`gender`	Given variable: gender, 0=male and 1=female
`w0`	Given variable: time c_age wealth that is not disposable, assumption: still available at retirement (no growth or decline), alternatively: expected wealth (that is not disposable) at retirement, stays the same over time
`CF`	Given Variables: income shocks, such as inheritance (not currently implemented)
`li`	Given variable: gross labor income at time 0 (in the last year before birthday)
`lg`	Given variable: labor growth rate (in real terms, constant)
`c1`	Given variable: first pillar savings as fraction of gross income
`s1`	Given variable: vector consisting of two components: c(number of contribution years at age=c_age,historical average yearly income until c_age)
`s2`	Given variable: savings in second pillar as of t=0
`s3`	Given variable: liquid wealth - invested in the third pillar (current assumption: no tax advantage for third pillar)
`w2`	Given variable: portfolio allocation in second pillar (assumed to be fixed and not influenced by the decision maker)
`rho2`	Given variable: conversion factor in second pillar for regular retirement age
`rho3`	Given variable: conversion factor in third pillar for regular retirement age
`ret`	Given variable: investment return scenarios (nominal)
`retr`	Given variable: investment return scenarios (real)
`psi`	Given variable: optional, spread to take a loan/leverage for third pillar savings
`warnings`	optional: should warnings be given? (default=TRUE)

Optimal values for c(ret_age, c, c2, nu2, nu3, alpha, w3)

## Not run: 
data(ret);data(retr)
.load_parameters()
initial_values <- c(0.6, 0.12, 0.5, 0.2, 0.96, 0.25, 0.25, 0.25)
optimalLC(initial_values,upper_bounds=NULL,lower_bounds=NULL,
ret_age=ret_age,ra=ra,delta=delta,beta=beta,c_age=c_age,
gender=gender,gender_mortalityTable=gender_mortalityTable,
         w0=w0,CF=CF,li=li,lg=lg,c1=c1,s1=s1,s2=s2,s3=s3,
         w2=w2,rho2=rho2,rho3=rho3,ret=ret[,,1:10],
         retr=retr[,,1:10],psi=psi,trace=1,reltol=1e-5)


## End(Not run)