Lifecycle and fixed portfolio allocation strategies: a performance comparison for emerging market countries

Ajantha Kumara () and Wade Pfau

MPRA Paper from University Library of Munich, Germany

Abstract: This study compares the performance of various fixed and lifecycle portfolio strategies for the accumulation phase of retirement planning in emerging market countries. With an expected utility framework and a bootstrapped Monte Carlo procedure, we find that the majority of emerging market investors with varying attitudes toward risk can maximize their expected utility by using lifecycle strategies instead of fixed allocation strategies. Most commonly, emerging market investors maximize expected utility with a lifecycle strategy using a 30 percent average equity exposure, though the results vary among countries.

Keywords: Emerging Markets; Fixed Allocations; Lifecycle Allocations; Pension Funds; Monte Carlo Simulations (search for similar items in EconPapers)
JEL-codes: D14 G11 G23 H55 (search for similar items in EconPapers)
Date: 2011-06-09, Revised 2011-06-10
New Economics Papers: this item is included in nep-cse
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31389

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