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Zefeng Bai,Kai Wallbaum 한국증권학회 2020 Asia-Pacific Journal of Financial Studies Vol.49 No.4
As a response to unforeseeable market turbulence—such as the 2008 financial crisis and the most recent market drawdown triggered by the COVID-19 pandemic—we propose a new pension investment strategy that could better protect a long-term pension plan in volatile market conditions. Over a hypothetical 20-year pension scheme and various target volatility scenarios, we show that our newly proposed strategy, which attaches a target volatility mechanism to a lifecycle strategy, could provide more effective capital protection and risk control for pension investment vehicles. Our results are robust with a consideration of transaction costs.
Bai Zefeng,Steblovskaya Victoria,Wallbaum Kai 한국증권학회 2023 Asia-Pacific Journal of Financial Studies Vol.52 No.6
Motivated by the recent market turbulence triggered by the COVID‐19 pandemic and the changing interest rate environment, we propose an improved investment strategy for extending retirement coverage in the pension decumulation stage. The newly proposed strategy with interest rate dependent volatility targets can significantly improve the durability of conventional retirement portfolios with constant risky and risk‐free asset allocations. This conclusion follows from our analysis in the simulated financial market with stochastic interest rate and stochastic volatility, based on the Hybrid Heston‐Vasicek model. Consequently, the proposed target volatility strategy could be a suitable option for more reliable retirement coverage after retirement.