On the Use of Equities in Target Date Funds

Giovanni Barone-Adesi, Eckhard Platen () and Carlo Sala
Additional contact information
Giovanni Barone-Adesi: University of Lugano; Swiss Finance Institute
Carlo Sala: ESADE Business School

No 20-24, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: Hedging; target date funds; dynamic investment policies (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2020-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3580762 (application/pdf)

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:chf:rpseri:rp2024

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().