Stochastická simulace výběrů v důchodu: Odhad rizika nedostatku prostředků na základě střední délky života

Abstract

The thesis explores the probability of depletion of the investment portfolio with regular withdrawals in retirement. A Monte Carlo simulation based on historical returns of the S&P 500 index and mortality tables is used to develop a model that allows to track the development of the portfolio and the risk of its depletion. Calculations are performed for different combinations of input parameters, in particular retirement age and initial portfolio value. The results show that the probability of the portfolio not being exhausted differs significantly depending on the setting of the input parameters. The results confirm that strategies consistent with the principles of the FIRE movement are sustainable in most cases, with more conservative approaches lowering the risk of depletion further. Lastly, options for extending the model are suggested, such as adding more asset classes or variable withdrawal rates.