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The Role of Sex in the Assessment of Return and Downside Risk in Decumulation Financial Planning

The Role of Sex in the Assessment of Return and Downside Risk in Decumulation Financial Planning

Authors :
Amaia Jone Betzuen Álvarez
Amancio Betzuen Zalbidegoitia
Source :
Risks, Vol 12, Iss 9, p 142 (2024)
Publication Year :
2024
Publisher :
MDPI AG, 2024.

Abstract

This paper aims to assess the return and downside risk of a decumulation portfolio established at the retirement age of a senior, with a determined lifetime horizon differentiated by the sex of the citizen. To measure the portfolio’s return and downside risk, two ratios conditioned by seniors’ risk attitude towards portfolio failure are employed: the downside Sortino ratio and the downside risk–return ratio. Unlike other research in the field, this manuscript provides three portfolio compositions catering to different senior investment profiles: aggressive, moderate, and conservative. Additionally, it offers a decumulation horizon conditioned by the sex-specific life expectancy of the individual, instead of offering different scenarios for conducting a sensitivity analysis. Lastly, this study was conducted across three socioeconomically distinct countries: the US, Spain, and Japan. The results clearly demonstrate that both sex and nationality significantly influence the selection of the optimal decumulation portfolio composition aimed at exhausting funds by the senior’s demise.

Details

Language :
English
ISSN :
22279091
Volume :
12
Issue :
9
Database :
Directory of Open Access Journals
Journal :
Risks
Publication Type :
Academic Journal
Accession number :
edsdoj.035f60f9e1e41a5b638077b603b0c13
Document Type :
article
Full Text :
https://doi.org/10.3390/risks12090142