scholarly journals Combining Investment and Tax Strategies for Optimizing Lifetime Solvency under Uncertain Returns and Mortality

2021 ◽  
Vol 14 (7) ◽  
pp. 285
Author(s):  
Sanjiv R. Das ◽  
Daniel Ostrov ◽  
Aviva Casanova ◽  
Anand Radhakrishnan ◽  
Deep Srivastav
Keyword(s):  
Investment Strategy ◽  
The Novel ◽  
Allocation Strategy ◽  
Investment Allocation ◽  
Stochastic Mortality ◽  
Target Date ◽  
Investment Returns ◽  
Tax Efficiency

This paper considers investors who are looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts (TDAs), Roth accounts, and taxable stock and bond accounts. This optimization works with stochastic investment returns and stochastic mortality, extending and combining different investment and tax-efficiency paradigms. We find that optimizing the investment strategy has a much larger impact on the investor remaining solvent than optimizing the tax strategy. This result is key to effectively optimizing both strategies simultaneously. This optimized investment strategy soundly beats a standard target date fund strategy, and the novel optimized tax strategy displays optimal desired properties suggested by non-stochastic tax optimization research.

scholarly journals Pension fund regulation: Unintended consequences of foreign investment restrictions in an emerging market economy

2016 ◽  
Vol 6 (4) ◽  
pp. 485-493
Author(s):  
Coert Frederik Erasmus ◽  
Johan van Huyssteen
Keyword(s):  
Foreign Investment ◽  
Pension Fund ◽  
Emerging Market ◽  
Unintended Consequences ◽  
Foreign Asset ◽  
Retirement Savings ◽  
Investment Allocation ◽  
Developed Markets ◽  
Investment Returns ◽  
Provident Fund

Retirement savings allow investors to earn income after retirement by saving while being part of the workforce. Retirement savings comprise the largest portion of retirement savings and should be safeguarded by effective regulation. To safeguard retirement savings, exposure to foreign asset investments is limited. However, in an emerging economy, limiting foreign asset investments, especially investment in developed markets, could hamper the potential investment returns due to the translation risk. To assess the effect of translation risk, a preservation provident fund was used in the present study to determine whether the returns of this preservation provident fund would be adversely affected by investment allocation regulation. The findings indicated how the translation effect affected the preservation provident fund, illustrating the adverse unintended consequences of investment regulation in emerging market economies. Consequently, regulators should reconsider the maximum allowed foreign asset investment in pension fund regulations to enhance investment returns from foreign asset investments

scholarly journals Portability Rewards And Avoidance Of Longevity Risk: Factors In The Growth Of Defined Contribution Plans

2010 ◽  
Vol 8 (10) ◽  
Author(s):  
Beverley Hollingsworth ◽  
Wei Wang
Keyword(s):  
Investment Strategy ◽  
Longevity Risk ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Insufficient Evidence ◽  
Font Size ◽  
Defined Contribution Plans ◽  
Investment Returns ◽  
Defined Benefit Plans ◽  
The Relationship

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="color: black; font-size: 10pt; mso-themecolor: text1;"><span style="font-family: Times New Roman;">The decline in defined benefit plans has been offset by a significant growth in defined contribution plans. An important consideration in this phenomenon lies in the fact that employees view this shift as a tradeoff between longevity risk and portability rewards. Companies are shifting from defined benefit plans to avoid the longevity risks associated with such plans. On the other hand, in some instances when given the option, employees chose defined contribution plans, due to the associated portability rewards where participants have a choice of rolling over, or transferring plans from former employers.. This paper examined research relevant in assessing factors contributing to growth in defined contribution with particular interest in 401(k)s and the relationship between investment returns, the availability of loans, and investment strategy that may affect plan growth. It is concluded that there is insufficient evidence for assuming a relationship between investment returns, loan availability and investment strategy and the growth of defined contribution plans. </span></span></p>

Measuring Social Investment Returns

2017 ◽  
Author(s):  
Gerlinde Verbist
Keyword(s):  
Social Impact ◽  
Investment Strategy ◽  
Order Effects ◽  
Investment Strategies ◽  
Social Investment ◽  
Short Discussion ◽  
First Order ◽  
Literature Overview ◽  
The Social ◽  
Investment Returns

The aim of this chapter is to assess different issues related to measuring the social impact of social investment strategies, and more specifically of publicly provided services. The chapter starts with a short discussion of the role played by services in the social investment strategy, as these services are often considered to be a more appropriate social investment instrument than cash transfers. This is illustrated by discussing the distributive effects of two types of publicly provided services, namely childcare and education. A literature overview is presented of how the employment and inequality effects of these services are measured. Both first-order and second-order effects are considered, thereby also indicating gaps in knowledge for a proper assessment of such services in the framework of social investment.

scholarly journals The determinants of investment returns in the fire insurance industry: the case of Sweden, 1903–1939

2013 ◽  
Vol 20 (1) ◽  
pp. 73-89 ◽  
Author(s):  
Lars Fredrik Andersson ◽  
Magnus Lindmark ◽  
Mike Adams ◽  
Vineet Upreti
Keyword(s):  
Panel Data ◽  
Research Design ◽  
Insurance Industry ◽  
Investment Strategy ◽  
Political Uncertainty ◽  
Fire Insurance ◽  
Investment Returns

We employ a panel data research design to examine the determinants of investment returns in the Swedish property fire insurance industry from 1903 to 1939 – a period of great economic and political uncertainty. Contrary to expectations, we find that mutual fire insurers generated systematically higher investment returns than stock fire insurers. Investment returns are inversely related to leverage but positively related to liquidity, showing that firms adopting a more precautionary investment strategy attain higher returns.

MATHEMATICAL MODELING OF INVESTMENT ALLOCATION STRATEGY FOR INFORMATION SECURITY SYSTEM ORGANIZATION

2020 ◽  
Author(s):  
Ольга Николаевна Яркова ◽  
Анастасия Сергеевна Яркова ◽  
Алена Владимировна Труфанова
Keyword(s):  
Mathematical Modeling ◽  
Information Security ◽  
System Organization ◽  
Security System ◽  
Financial Resources ◽  
Allocation Strategy ◽  
Investment Allocation ◽  
Level Information ◽  
Security Properties ◽  
Multi Level

В работе предложен алгоритм формирования стратегии распределения инвестиций на улучшение защитных свойств системы по уровням доступа, обеспечивающей, при выделенных финансовых средствах, наилучший уровень надежности многоуровневой системы защиты информации в целом. In this article, we propose an algorithm for forming a strategy for allocating investments to improve the security properties of the system by access levels, which provides the best level of reliability of a multi-level information security system as a whole with allocated financial resources.

Portfolio Optimization Using Evolutionary Algorithms

2011 ◽  
pp. 235-245
Author(s):  
Lean Yu ◽  
Shouyang Wang ◽  
Kin Keung Lai
Keyword(s):  
Genetic Algorithm ◽  
Evolutionary Algorithms ◽  
Evolutionary Algorithm ◽  
Portfolio Optimization ◽  
Investment Strategy ◽  
Optimization Process ◽  
Genetic Optimization ◽  
Two Stage ◽  
Investment Allocation ◽  
Second Stage

In this study, a double-stage evolutionary algorithm is proposed for portfolio optimization. In the first stage, a genetic algorithm is used to identify good-quality assets in terms of asset ranking. In the second stage, investment allocation in the selected good-quality assets is optimized using another genetic algorithm based on Markowitz’s theory. Through the two-stage genetic optimization process, an optimal portfolio can be determined. Experimental results obtained reveal that the proposed double-stage evolutionary algorithm for portfolio optimization provides a very useful tool to assist the investors in planning their investment strategy and constructing their portfolio.

RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS

2017 ◽  
Vol 47 (2) ◽  
pp. 501-525 ◽  
Author(s):  
Chou-Wen Wang ◽  
Hong-Chih Huang
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Asset Allocation ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Dependence Structure ◽  
Allocation Strategy ◽  
Investment Performance ◽  
Optimal Investment Strategy

AbstractThis paper provides an optimal asset allocation strategy to enhance risk management performance in the face of a financial crisis; this strategy entails constructing a good asset model – a multivariate jump-diffusion (MJD) model which includes idiosyncratic and systematic jumps simultaneously – and choosing suitable asset allocations and objective functions for fund management. This study also provides the dependence structure for the MJD model. The empirical implementation demonstrates that the proposed MJD model provides more detailed information about the financial crisis, allowing fund managers to determine an appropriate asset allocation strategy that enhances investment performance during the crisis.

scholarly journals The Value of GARP Investing: Evidence from the Indonesian Stock Exchange

2021 ◽  
Vol 5 (2) ◽  
pp. 9
Author(s):  
Panji Priyanto
Keyword(s):  
Stock Exchange ◽  
Investment Strategy ◽  
Growth Ratio ◽  
Value Stocks ◽  
Stock Portfolios ◽  
Price Earnings Ratio ◽  
Investment Returns ◽  
Homogeneity Of Variance ◽  
Investment Portfolios ◽  
Stock Portfolio

The purpose of this study was to examine whether or not the GARP in selecting the stock portfolios can provide a more stable growth rate of return when compared to the value stock and growth stock as well as to examine the stock return on value stock and growth stock based on the changes in its fundamentals. The population in this study was all companies listed on the Indonesia Stock Exchange (known as IDX) in the period of 2015-2019. The samples were selected using a comparative-quantitative approach and consisted of 20 companies: seven companies included in the value stock portfolio category and ten companies included in the portfolio category. Growth stock and three companies were included in the GARP's stock portfolio category. The formation of stock portfolios in the company's fundamentals was based on price to book value ratio, price-earnings ratio, and price-earnings growth ratio. This study used the ANOVA method equipped with SPSS by performing four tests: Homogeneity of Variance, Between-Subject, Post Hoc, and Homogenous Subset test. The results of this study show that there were differences in the portfolio return of value stocks, growth stocks, and GARP stocks on the Indonesia Stock Exchange in the period of 2015-2019. Meanwhile, the GARP investment strategy was stable for the growth when compared to the value investment and growth investment in the Indonesia Stock Exchange in the period of 2015-2019. The implementation of GARP concept in managing the investment portfolios and criteria for choosing the stocks have the profitable growth, first in forming the GARP because investors in the stock market tend to expect obtaining high investment returns with a limited time horizon. The implementation of GARP concept has prevented the investors from the value trap because the GARP strategy is a hybrid solution for the growth stock and value stock, thus. The GARP investors will experience a combination of returns

The Architecture of Information

2017 ◽  
Author(s):  
Gordon L. Clark ◽  
Ashby H. B. Monk
Keyword(s):  
Information Systems ◽  
Financial Institutions ◽  
Theory Of The Firm ◽  
Investment Strategy ◽  
Investment Strategies ◽  
Global Finance ◽  
Finance Industry ◽  
Investment Returns ◽  
The Individual ◽  
Investment Process

Chapter 3 centres on the design and management of financial institutions’ information systems. The focus is on the interface between geographically spread institutions, centralized financial markets, and return-seeking investment strategies on the margins of markets. The importance of information systems as fundamental to the production of investment returns is underlined. The discussion takes into account several levels—one being the collection of financial market information for transmission to institutional investors so as to inform investment strategy and implementation, another being the sharing of information within an organization to facilitate the investment process and coordinate the individual components that derive the entire institution’s investment strategy. The chapter also provides an account of the growth of the global finance industry, theory of the firm, and an assessment of this logic in financial institutions specifically, and to economic geography in general.

scholarly journals The performance of dynamic and static investment strategies in pension funds

2020 ◽  
Vol 22 (3) ◽  
pp. 235-249
Author(s):  
Stevan Luković
Keyword(s):  
Financial Market ◽  
Pension Fund ◽  
Global Financial Crisis ◽  
Investment Strategy ◽  
Retirement Savings ◽  
Investment Strategies ◽  
Investment Returns ◽  
The Global Financial Crisis ◽  
Financial Outcome ◽  
Selection Of

The retirement savings process for the members of a pension fund involves regular contribution payments made by a member and/or his employer, and the investment earnings generated by following an investment strategy. After the Global Financial Crisis, the aspect of value preservation has become particularly important to members of a pension fund, thus affecting the selection of an investment strategy. In face of increasing fluctuations on the financial market, static lifecycle strategies have become an unsatisfactory solution for members of a pension fund given the absence of a response to shocks on the financial market. In the paper, a comparative analysis of the performance of dynamic and static lifecycle strategies is carried out using bootstrap resampling in order to simulate investment returns and VaR indicators so as to assess the risk of an adverse financial outcome at retirement. The results of the analysis indicate the fact that dynamic lifecycle strategies generate more favorable financial results than static lifecycle strategies do, with a slightly increased likelihood of generating extremely unfavorable outcomes.

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