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  • Dynamic Lifecycle Strategies for Target Date Retirement Funds

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    62390_1.pdf (424.4Kb)
    Author(s)
    K. Basu, Anup
    Byrne, Alistair
    Drew, Michael
    Griffith University Author(s)
    Drew, Michael E.
    Year published
    2009
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    Abstract
    In this paper, we extend this alternative approach by proposing a dynamic lifecycle strategy which is flexible in adjusting its allocation between growth and conservative assets as the retirement date approaches depending on the extent that the plan member?s wealth accumulation objective has been achieved at that time. In other words, this strategy is responsive to past performance of the portfolio relative to the investor?s target return in determining the mix of assets in future periods. While initially it invests heavily in equities just as any other lifecycle strategy, the switching to fixed income is not automatic. It ...
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    In this paper, we extend this alternative approach by proposing a dynamic lifecycle strategy which is flexible in adjusting its allocation between growth and conservative assets as the retirement date approaches depending on the extent that the plan member?s wealth accumulation objective has been achieved at that time. In other words, this strategy is responsive to past performance of the portfolio relative to the investor?s target return in determining the mix of assets in future periods. While initially it invests heavily in equities just as any other lifecycle strategy, the switching to fixed income is not automatic. It only takes place if the investor has accumulated wealth in excess of the target accumulation at the point of switch. Also, after switching to conservative assets, if the accumulation falls below the target in any period, the direction of switch is reversed by moving away from fixed income and towards stocks. We compare and contrast the outcomes of this dynamic strategy with those achieved by following a regular deterministic lifecycle strategy
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    Conference Title
    Asian Finance Association International Conference 2009
    Publisher URI
    http://www.business.uq.edu.au/
    Copyright Statement
    © The Author(s) 2009. The attached file is reproduced here in accordance with the copyright policy of the publisher. For information about this conference please refer to the conference’s website or contact the authors.
    Subject
    Investment and Risk Management
    Publication URI
    http://hdl.handle.net/10072/31910
    Collection
    • Conference outputs

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