Pesquisa de referências

Rule-based strategies for dynamic life cycle investment

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      <subfield code="a">Rule-based strategies for dynamic life cycle investment</subfield>
      <subfield code="c">T. R. B. den Haan...[et.al.]</subfield>
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      <subfield code="a">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.

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      <subfield code="0">MAPA20080552114</subfield>
      <subfield code="a">Pensiones</subfield>
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      <subfield code="g">06/06/2022 Volúmen 12 - Número 1 - junio 2022 , p. 189-213</subfield>
      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
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