使用退休目标日期和预测波动率的动态下滑路径

Kim Sun Woong
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摘要

本文的研究目的是在同时考虑市场预测波动率和投资者退休时间的情况下,提出一种新的滑翔路径,动态调整目标日期基金的风险资产纳入比例,并将其与传统目标日期基金的投资绩效进行比较。市场波动率的预测利用历史波动率、时间序列模型GARCH波动率和波动率指数VKOSPI。在2003年至2020年的分析期间,考虑股市波动的新动态滑翔路径的投资业绩表现优异。在这三种波动率预测模型中,夏普比率(Sharpe Ratio)这一投资绩效指标比仅考虑退休日期的传统静态滑翔路径(Glide Path)具有更高的回报和更低的风险。本研究的实证结果显示,建议的下滑路径在目标日期基金管理行业和退休人员中应用的潜力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Dynamic Glide Path using Retirement Target Date and Forecast Volatility
The objective of this study is to propose a new Glide Path that dynamically adjusts the risky asset inclusion ratio of the Target Date Fund by simultaneously considering the market’s forecast volatility as well as the time of investor retirement, and to compare the investment performance with the traditional Target Date Fund. Forecasts of market volatility utilize historical volatility, time series model GARCH volatility, and the volatility index VKOSPI. The investment performance of the new dynamic Glide Path, which considers stock market volatility has been shown to be excellent during the analysis period from 2003 to 2020. In all three volatility prediction models, Sharpe Ratio, an investment performance indicator, is improved with higher returns and lower risks than traditional static Glide Path, which considers only retirement date. The empirical results of this study present the potential for the utilization of the suggested Glide Path in the Target Date Fund management industry as well as retirees.
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