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The Portfolio Size Effect and Lifecycle Asset Allocation Funds: A Different Perspective
https://doi.org/10.24545/00001032
https://doi.org/10.24545/00001032c199d26f-2157-471f-be9d-5e157f19dfe2
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
DP10-11.pdf (438.5 kB)
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| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2010-09-01 | |||||||
| タイトル | ||||||||
| タイトル | The Portfolio Size Effect and Lifecycle Asset Allocation Funds: A Different Perspective | |||||||
| 言語 | en | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | lifecycle funds | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | target date funds | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | retirement planning | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | asset allocation | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | portfolio size effect | |||||||
| 資源タイプ | ||||||||
| 資源タイプ | technical report | |||||||
| ID登録 | ||||||||
| ID登録 (DOI) | 10.24545/00001032 | |||||||
| ID登録タイプ | JaLC | |||||||
| 著者 |
PFAU, Wade D.
× PFAU, Wade D.
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| 著者所属 | ||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies | |||||||
| 分野 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | 経済学 / Economics | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | Basu and Drew (in the JPM Spring 2009 issue) argue that lifecycle asset allocation strategies are counterproductive to the retirement savings goals of typical individual investors. Because of the portfolio size effect, most portfolio growth will occur in the years just before retirement when lifecycle funds have already switched to a more conservative asset allocation. In this article, we use the same methodology as Basu and Drew, but we do not share their conclusion that the portfolio size effect soundly overturns the justification for the lifecycle asset allocation strategy. While strategies that maintain a large allocation to stocks do provide many attractive features, we aim to demonstrate that a case for supporting a lifecycle strategy can still be made with modest assumptions for risk aversion and diminishing utility from wealth. Our differing conclusion results from four factors: (1) we compare the interactions between different strategies; (2) we consider a more realistic example for the lifecycle asset allocation strategy; (3) we examine the results for 17 countries; and (4) we provide an expected utility framework to compare different strategies. We find that with a very reasonable degree of risk aversion, investors have reason to prefer the lifecycle strategy in spite of the portfolio size effect. | |||||||
| 内容記述 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | JEL Classification Codes: D14, D81, G11, G23 | |||||||
| 発行年 | ||||||||
| 値 | 2010-09 | |||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP10-11, 発行日 2010-09-01 |
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| 出版者 | ||||||||
| 出版者 | GRIPS Policy Research Center | |||||||
| 言語 | en | |||||||
| 関連サイト | ||||||||
| 関連タイプ | isIdenticalTo | |||||||
| 識別子タイプ | URI | |||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/10-11.html | |||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/10-11.html | |||||||
| 著者版フラグ | ||||||||
| 出版タイプ | AM | |||||||
| 出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||||
