Rule-based strategies for dynamic life cycle investment
Objetos digitales
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220019842 | ||
| 003 | MAP | ||
| 005 | 20220701135613.0 | ||
| 008 | 220701e20220606che|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 0 | 0 | $aRule-based strategies for dynamic life cycle investment$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 | $aLa copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"$f$uhttps://creativecommons.org/licenses/by/4.0$943 | ||
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080552114$aPensiones | |
| 773 | 0 | $wMAP20220007085$g06/06/2022 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 |