Mean–variance optimality of a retirement lump sum conversion strategy: implementation in Australia

Roger Gay

Journal of Risk

Abstract: ABSTRACT Portfolios that are more efficient than those on the capital market line can be constructed by investing at the risk-free rate to purchase payouts that occur prior to the end of the single-term investment horizon. These hyperefficient portfolios provide the mean–variance solution to an outstanding problem in finance, namely how optimally to convert an employment termination lump sum into a retirement income stream. The mean–variance optimality can be used to investigate risk to the retiree under other criteria. The new results have profound implications for all stakeholders in retirement income provision industries and associated service industries. Implementation of the strategy is demonstrated in the Australian context.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-risk/2160997/mean- ... ntation-in-australia (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ4:2160997

Access Statistics for this article

More articles in Journal of Risk from Journal of Risk
Bibliographic data for series maintained by Thomas Paine ().