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Rule-based strategies for dynamic life cycle investment

Rule-based strategies for dynamic life cycle investment
Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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001  MAP20220019842
003  MAP
005  20220701135613.0
008  220701e20220606che|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
24500‎$a‎Rule-based strategies for dynamic life cycle investment‎$c‎T. R. B. den Haan...[et.al.]
520  ‎$a‎In this work, we consider rule-based investment strategies for managing a defined contribution pension savings scheme, under the Dutch pension fund testing model. We find that dynamic, rule-based investment strategies can outperform traditional static strategies, by which we mean that the investor may achieve the target retirement income with a higher probability or limit the shortfall when the target is not met. In comparison with dynamic programming-based strategies, the rule-based strategies have more stable asset allocations throughout time and avoid excessive transactions that may be hard to explain to an investor. We also study a combined strategy of a rule-based target with dynamic programming. A key feature of our setting is that there is no risk-free asset, instead, a matching portfolio is introduced for the investor to avoid unnecessary risk.
540  ‎$a‎La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"‎$u‎https://creativecommons.org/licenses/by/4.0‎$9‎43
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080552114‎$a‎Pensiones
7730 ‎$w‎MAP20220007085‎$g‎06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 189-213‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022
856  ‎$q‎application/pdf‎$w‎1116057‎$y‎Recurso electrónico / Electronic resource