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Optimizing Pension Outcomes Using Target‐Driven Investment Strategies: Evidence from Three Asian Countries with the Highest Old‐Age Dependency Ratio*

Optimizing Pension Outcomes Using Target‐Driven Investment Strategies: Evidence from Three Asian... As a response to unforeseeable market turbulence—such as the 2008 financial crisis and the most recent market drawdown triggered by the COVID‐19 pandemic—we propose a new pension investment strategy that could better protect a long‐term pension plan in volatile market conditions. Over a hypothetical 20‐year pension scheme and various target volatility scenarios, we show that our newly proposed strategy, which attaches a target volatility mechanism to a lifecycle strategy, could provide more effective capital protection and risk control for pension investment vehicles. Our results are robust with a consideration of transaction costs. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Journal of Financial Studies Wiley

Optimizing Pension Outcomes Using Target‐Driven Investment Strategies: Evidence from Three Asian Countries with the Highest Old‐Age Dependency Ratio*

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Publisher
Wiley
Copyright
Copyright © 2020 Korean Securities Association
ISSN
2041-9945
eISSN
2041-6156
DOI
10.1111/ajfs.12310
Publisher site
See Article on Publisher Site

Abstract

As a response to unforeseeable market turbulence—such as the 2008 financial crisis and the most recent market drawdown triggered by the COVID‐19 pandemic—we propose a new pension investment strategy that could better protect a long‐term pension plan in volatile market conditions. Over a hypothetical 20‐year pension scheme and various target volatility scenarios, we show that our newly proposed strategy, which attaches a target volatility mechanism to a lifecycle strategy, could provide more effective capital protection and risk control for pension investment vehicles. Our results are robust with a consideration of transaction costs.

Journal

Asia-Pacific Journal of Financial Studies – Wiley

Published: Aug 1, 2020

Keywords: ; ; ;

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