| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13019 |
| DP13019 Tactical Target Date Funds | |
| Francisco Gomes; Alexander Michaelides | |
| 发表日期 | 2018-06-28 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We show that saving for retirement in target date funds (TDFs) modified to take advantage of predictability in excess returns driven by the variance risk premium generates economically large welfare gains. We call these funds tactical target date funds (TTDFs). To be easily implementable and communicated to investors, the portfolio rule followed by TTDFs is designed to be extremely simplified relative to the optimal policy rules. Despite this significant mis-specification, substantial welfare gains persist. Importantly, these gains remain economically important even after we introduce restrictions that limit turnover to empirically observed magnitudes for mutual funds, and after we take into account potential increases in transaction costs. Crucially, we show that this predictability is not correlated with individual household risk, confirming that households are in a prime position to exploit this premium. |
| 主题 | Financial Economics |
| 关键词 | Target date funds Life cycle portfolio choice Retirement savings Variance risk premium Strategic asset allocation Tactical asset allocation Market timing |
| URL | https://cepr.org/publications/dp13019 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541825 |
| 推荐引用方式 GB/T 7714 | Francisco Gomes,Alexander Michaelides. DP13019 Tactical Target Date Funds. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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