Abstract
The evaluation of retirement strategies is typically based on the failure rate (the rate at which a retiree’s nest egg is exhausted prematurely), although some alternatives have been proposed recently. One of these is risk-adjusted success (RAS), which aims to capture not just the failure but also the success of the strategies evaluated. The main shortcoming of RAS is that it measures risk with the standard deviation, which penalizes strategies that leave large bequests. The variable proposed here, downside risk-adjusted success (D-RAS), addresses this shortcoming by taking a downside risk perspective, measuring risk with the semi-deviation and, therefore, with volatility below a chosen benchmark. This modification leads to the selection of more plausible strategies than those selected by both the failure rate and RAS. <b>TOPICS:</b>Retirement, risk management, analysis of individual factors/risk premia
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
