2009-02: Dynamic Lifecycle Strategies for Target Date Retirement Funds (Working paper)
File version
Author(s)
Basu, Anup K.
Byrnes, Alistair
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Akimov, Alexandr
Date
Size
26 pages
File type(s)
Location
License
Abstract
Lifecycle funds offered to retirement plan participants gradually reduce their exposure to stocks as they approach the target date of retirement. We show that such deterministic switching rules produce inferior wealth outcomes for the investor compared to strategies that dynamically alter the allocation between growth and conservative assets based on cumulative portfolio performance relative to a set target. The dynamic allocation strategies proposed in this paper exhibit almost stochastic dominance (ASD) over strategies that switch assets unidirectionally without consideration of portfolio performance.
Journal Title
Conference Title
Book Title
Edition
Volume
Issue
Thesis Type
Degree Program
School
Publisher link
DOI
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
Copyright © 2010 by author(s). No part of this paper may be reproduced in any form, or stored in a retrieval system, without prior permission of the author(s).
Item Access Status
Note
Finance
Access the data
Related item(s)
Subject
G11 - Portfolio Choice; Investment Decisions
G23 - Pension Funds; Other Private Financial Institutions; Institutional Investors
Lifecycle funds
Target date investing