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The efficiency of an investing in investment funds in the context of a longevity

Author

Listed:
  • Mościbrodzka Monika

    (Department of Statistics and Operations Research, Faculty of Law, Administration and Economics, University of Wroclaw, Wroclaw, Poland)

  • Homa Magdalena

    (Department of Statistics and Operations Research, Faculty of Law, Administration and Economics, University of Wroclaw, Poland)

Abstract

Aim/purpose – The aim of this paper is to evaluate the efficiency of an investing in investment funds with different risk levels in times of a future life expectancy increase. For this purpose, it was analysed how future prices of the investment funds’ entities behave, depending on the window function and the age of the investors, in particular people of retirement age, for whom an investment income may be a supplementary way of raising additional capital.

Suggested Citation

  • Mościbrodzka Monika & Homa Magdalena, 2019. "The efficiency of an investing in investment funds in the context of a longevity," Journal of Economics and Management, Sciendo, vol. 38(4), pages 107-128, December.
    • Handle: RePEc:vrs:jecman:v:38:y:2019:i:4:p:107-128:n:3
    DOI: 10.22367/jem.2019.38.06
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    References listed on IDEAS

    as
    1. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    2. Kon, Stanley J & Jen, Frank C, 1979. "The Investment Performance of Mutual Funds: An Empirical Investigation of Timing, Selectivity, and Market Efficiency," The Journal of Business, University of Chicago Press, vol. 52(2), pages 263-289, April.
    3. Grinblatt, Mark & Titman, Sheridan D, 1989. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings," The Journal of Business, University of Chicago Press, vol. 62(3), pages 393-416, July.
    4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    5. Mossin, Jan, 1969. "Security Pricing and Investment Criteria in Competitive Markets," American Economic Review, American Economic Association, vol. 59(5), pages 749-756, December.
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    More about this item

    Keywords

    efficiency; longevity; investment funds; simulation methods;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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