Lifecycle and fixed portfolio allocation strategies: a performance comparison for emerging market countries
AbstractThis study compares the performance of various fixed and lifecycle portfolio strategies for the accumulation phase of retirement planning in emerging market countries. With an expected utility framework and a bootstrapped Monte Carlo procedure, we find that the majority of emerging market investors with varying attitudes toward risk can maximize their expected utility by using lifecycle strategies instead of fixed allocation strategies. Most commonly, emerging market investors maximize expected utility with a lifecycle strategy using a 30 percent average equity exposure, though the results vary among countries.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31389.
Date of creation: 09 Jun 2011
Date of revision: 10 Jun 2011
Emerging Markets; Fixed Allocations; Lifecycle Allocations; Pension Funds; Monte Carlo Simulations;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
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