Adding "value" to sustainable post-retirement portfolios

Authors

  • Neeraj J. Gupta Department of Finance, Martha and Spencer Love School of Business, Elon University
  • Robert Pavlik Department of Finance, Martha and Spencer Love School of Business, Elon University
  • Wonhi Synn Department of Finance, Martha and Spencer Love School of Business, Elon University

DOI:

https://doi.org/10.61190/fsr.v21i1.3875

Keywords:

Retirement portfolios, Asset allocation, Target-date funds, Bootstrap

Abstract

Balanced mutual funds, long used in individual retirement plans, have increased in popularity in recent years, partly because they are one of three qualified default investment alternatives in employer­ sponsored retirement plans. Using mean-reverting valuation metrics, we design semi-passive balanced fund portfolios with significantly lower shortfall rates and higher remaining balances than those found in studies like Bengen (l 994) and Spitzer and Singh (2008). The results from our study, using rolling periods and bootstrapping simulation methods, indicate that our valuation-based portfolios unambig­uously outperform both conventional balanced funds and target-date funds, and that they should be included as additional offerings in retirement plans.

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Published

2012-03-31

How to Cite

Gupta, N. J., Pavlik, R., & Synn, W. (2012). Adding "value" to sustainable post-retirement portfolios. Financial Services Review, 21(1), 19–33. https://doi.org/10.61190/fsr.v21i1.3875

Issue

Vol. 21 No. 1 (2012): FSR Spring 2012

Section

New Original Submission

License

Copyright (c) 2012 Academy of Financial Services

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