Centro de Documentacion de Fundación MAPFRE - Rule-based strategies for dynamic life cycle investment

Notas: Sumario: In 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.

Registros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 189-213Materia / lugar / evento: Cálculo actuarial Modelos actuariales Pensiones Outras classificações: 6

Direitos: La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"

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