Kumara, Ajantha Sisira and Pfau, Wade Donald (2011): Lifecycle and fixed portfolio allocation strategies: a performance comparison for emerging market countries.
Download (75Kb) | Preview
This study compares the performance of various fixed and lifecycle portfolio strategies for the accumulation phase of retirement planning in emerging market countries. With an expected utility framework and a bootstrapped Monte Carlo procedure, we find that the majority of emerging market investors with varying attitudes toward risk can maximize their expected utility by using lifecycle strategies instead of fixed allocation strategies. Most commonly, emerging market investors maximize expected utility with a lifecycle strategy using a 30 percent average equity exposure, though the results vary among countries.
|Item Type:||MPRA Paper|
|Original Title:||Lifecycle and fixed portfolio allocation strategies: a performance comparison for emerging market countries|
|Keywords:||Emerging Markets, Fixed Allocations, Lifecycle Allocations, Pension Funds, Monte Carlo Simulations|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
H - Public Economics > H5 - National Government Expenditures and Related Policies > H55 - Social Security and Public Pensions
G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
D - Microeconomics > D1 - Household Behavior and Family Economics > D14 - Personal Finance
|Depositing User:||Ajantha Sisira Kumara|
|Date Deposited:||10. Jun 2011 13:37|
|Last Modified:||14. Feb 2013 22:03|
Basu, A.K., Drew, M.E., 2009. Portfolio Size Effect in Retirement Accounts: What Does it Imply for Lifecycle Asset Allocation Funds. The Journal of Portfolio Management, 35, pp.61-72.
Burtless, G., 2010. Lessons of the Financial Crisis for the Design of National Pension Systems. CESifo Economic Studies, 56(3), pp. 323-349.
Pfau, W.D., 2010. Lifecycle Funds and Wealth Accumulation for Retirement: Evidence for a More Conservative Asset Allocation as Retirement Approaches. Financial Services Review, 19 (1), pp.59-74.
Pfau, W.D., 2011. An Optimizing Framework for the Glide paths of Lifecycle Asset Allocation Funds. Applied Economic Letters, 18 (1), pp.55-58.
Schleef, H.J., Eisinger, R.M., 2011. Life-cycle Funds: International Diversification, Reverse Glide Paths, and Portfolio Risk. Journal of Financial Planning, 24 (1), pp.50-58.