The Role of Sex in the Assessment of Return and Downside Risk in Decumulation Financial Planning

Amaia Jone Betzuen Álvarez () and Amancio Betzuen Zalbidegoitia
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Amaia Jone Betzuen Álvarez: Department of Economics and Finance II, Faculty of Business and Economics, University of the Basque Country, Campus of Vizcaya, Av/Lehendakari Agirre 83, 48015 Bilbao, Spain
Amancio Betzuen Zalbidegoitia: Independent Researcher, Av/Lehendakari Agirre 44, 48014 Bilbao, Spain

Risks, 2024, vol. 12, issue 9, 1-13

Abstract: This paper aims to assess the return and downside risk of a decumulation portfolio established at the retirement age of a senior, with a determined lifetime horizon differentiated by the sex of the citizen. To measure the portfolio’s return and downside risk, two ratios conditioned by seniors’ risk attitude towards portfolio failure are employed: the downside Sortino ratio and the downside risk–return ratio. Unlike other research in the field, this manuscript provides three portfolio compositions catering to different senior investment profiles: aggressive, moderate, and conservative. Additionally, it offers a decumulation horizon conditioned by the sex-specific life expectancy of the individual, instead of offering different scenarios for conducting a sensitivity analysis. Lastly, this study was conducted across three socioeconomically distinct countries: the US, Spain, and Japan. The results clearly demonstrate that both sex and nationality significantly influence the selection of the optimal decumulation portfolio composition aimed at exhausting funds by the senior’s demise.

Keywords: downside risk; senior; financial planning; decumulation portfolio; retirement; sex (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2024
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