战术目标日期基金

Francisco Gomes, Alexander Michaelides, Yu-xin Zhang
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引用次数: 10

摘要

我们提出了一种利用方差风险溢价驱动的股票收益可预测性的目标日期基金。这些战术目标日期基金(ttdf)的投资组合规则相对于最优规则是极其简化的,使其易于实施和与投资者沟通。我们表明,即使在引入周转限制和交易成本并考虑了参数不确定性之后,在ttdf中为退休储蓄在经济上也会产生巨大的福利收益。这种可预测性似乎也与单个家庭的风险无关,这表明家庭处于利用它的最佳位置。这篇论文被财经的Tomasz Piskorski接受。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Tactical Target Date Funds
We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical target date funds (TTDFs) is extremely simplified relative to the optimal one, making it easy to implement and to communicate to investors. We show that saving for retirement in TTDFs generates economically large welfare gains, even after we introduce turnover restrictions and transaction costs, and after taking into account parameter uncertainty. This predictability also appears to be uncorrelated with individual household risk, suggesting that households are in a prime position to exploit it. This paper was accepted by Tomasz Piskorski, finance.
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