Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/69486
Title: Long-run savings and investment strategy optimization
Author: Gerrard, Russell
Guillén, Montserrat
Perch Nielsen, Jens
Pérez Marín, Ana María
Keywords: Societats d'inversió
Avaluació del risc
Risc (Economia)
Estalvi
Mutual funds
Risk assessment
Risk
Saving
Issue Date: 2014
Publisher: Hindawi Publishing Corporation
Abstract: We focus on automatic strategies to optimize life cycle savings and investment. Classical optimal savings theory establishes that, given the level of risk aversion, a saver would keep the same relative amount invested in risky assets at any given time. We show that, when optimizing lifecycle investment, performance and risk assessment have to take into account the investor's risk aversion and themaximum amount the investor could lose, simultaneously. When risk aversion andmaximumpossible loss are considered jointly, an optimal savings strategy is obtained, which follows fromconstant rather than relative absolute risk aversion. This result is fundamental to prove that if risk aversion and the maximumpossible loss are both high, then holding a constant amount invested in the risky asset is optimal for a standard lifetime saving/pension process and outperforms some other simple strategies. Performance comparisons are based on downside risk-adjusted equivalence that is used in our illustration.
Note: Reproducció del document publicat a: http://dx.doi.org/10.1155/2014/510531
It is part of: Scientific World Journal, 2014, vol. 2014, num. 510531, p. 1-13
Related resource: http://dx.doi.org/10.1155/2014/510531
URI: http://hdl.handle.net/2445/69486
ISSN: 1537-744X
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Files in This Item:
File Description SizeFormat 
631837.pdf2.07 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons