Risk Management Issues for Mandatory Private Retirement Provision: Roles for Options
Following the introduction of mandatory superannuation provision in Australia, superannuation fund managers and trustees are faced with the conflicting objectives of high returns and minimal yearâ€onâ€year volatility. This paper investigates whether repeat portfolio insurance implemented over the working life time of superannuation saving can offer a solution. Stochastic simulations show that the optionsâ€based strategies perfor M well in comparison to traditional investment practices. Strategies combining protective puts with age phasing produce the most appealing results.
Year of publication: |
1997
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Authors: | Bateman, Hazel |
Published in: |
Australian Journal of Management. - Australian School of Business. - Vol. 22.1997, 2, p. 175-197
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Publisher: |
Australian School of Business |
Subject: | REPEAT PORTFOLIO INSURANCE | DEFINED CONTRIBUTIONS SUPERANNUATION |
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