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Life Cycle and Fixed Portfolio Allocation Strategies: A Performance Comparison for Emerging Market Pension Funds

Authors:

Ajantha Sisira Kumara ,

University of Sri Jayewardenepura, LK
About Ajantha
Department of Public Administration
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Wade Donald Pfau

American College of Financial Services, Pennsylvania, US
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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.

How to Cite: Sisira Kumara, A. & Donald Pfau, W., (2015). Life Cycle and Fixed Portfolio Allocation Strategies: A Performance Comparison for Emerging Market Pension Funds. International Journal of Multidisciplinary Studies. 2(1), pp.88–98. DOI: http://doi.org/10.4038/ijms.v2i1.66
Published on 30 Jun 2015.
Peer Reviewed

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