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Department of Applied Finance and Actuarial Studies

Yuri Salazar Flores Seminar

Research Seminars - business and economics
  • Topic: Diversification and Risk in Superannuation Funds
  • Speaker:

    Yuri Salazar Flores, Postdoctoral Research Fellow, Department of Applied Finance and Actuarial Studies, Macquarie University

  • Venue:E4A 623
  • Time: 11am - 12pm (Morning Tea from 10.30am)

This paper deals with the question of which factors have the highest impact on the wealth outcome at retirement in a superannuation context. We focus on the last 10 years prior to retirement as these are the most crucial in determining the wealth outcome. We evaluate the performance of different lifecycle investment strategies for superannuation funds under different scenarios of market conditions, the initial accumulated value of the portfolio, salary and salary growth rates, interest rates and contribution levels.
Our analysis is based on modelling the dependence structure of the different risk factors. We apply parametric and non-parametric techniques to evaluate different strategies by examining wealth outcomes and risk-adjusted performance measures. Lifecycle strategies have become increasingly popular for defined contribution plans and have the advantage of adjusting the portfolio composition towards the age of retirement. Optimal strategies are also able to consider different scenarios.

View the full paper "Diversi fication and Risk in Superannuation Funds" (PDF)


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