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On the Use of Equities in Target Date Funds

Author

Listed:
  • Giovanni Barone-Adesi

    (University of Lugano; Swiss Finance Institute)

  • Eckhard Platen

    (University of Technology, Sydney (UTS) - Finance Discipline Group; University of Technology Sydney, School of Mathematical and Physical Sciences; Financial Research Network (FIRN))

  • Carlo Sala

    (ESADE Business School)

Abstract

Is it possible to achieve almost riskless investment results in the long run through equity investments? The persistence of low interest rates is spurring research on this question, because of the need to increase yields, while limiting variability of investment results. Target date funds aim to achieve an almost riskless outcome over a long horizon. They can be managed as contingent claims when expressed as units of a stock index. To assess the robustness of target date funds we introduce a simple overfunding scheme and show its reliability through bootstrapping.

Suggested Citation

  • Giovanni Barone-Adesi & Eckhard Platen & Carlo Sala, 2020. "On the Use of Equities in Target Date Funds," Swiss Finance Institute Research Paper Series 20-24, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2024
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    More about this item

    Keywords

    Hedging; target date funds; dynamic investment policies;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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