Saving for retirement in Europe: the long-term risk-return tradeoff

Andrea Berardi and Claudio Tebaldi

Journal of Pension Economics and Finance, 2024, vol. 23, issue 2, 272-293

Abstract: A comparison of the performances of pension products that ignores long-term trends might significantly overestimate the long-term impact of volatility risks while underestimating the impact of persistent, low-frequency trends. This paper proposes a comparison making use of projection models based on the long-term risk–return tradeoff proposed by Campbell and Viceira (2005) to explicitly take into account slow-moving economic trends. In order to illustrate the approach and its implications, we discuss the capital protection provided by life-cycle target-date fund strategies and minimum guarantee strategies.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jpenef:v:23:y:2024:i:2:p:272-293_6

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