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dc.contributor.authorChetouane, Mabrouk
dc.date.accessioned2011-07-18T08:45:36Z
dc.date.available2011-07-18T08:45:36Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6705
dc.language.isoenen
dc.subjectMean Reversionen
dc.subjectInvestment strategiesen
dc.subjectDefined contribution planen
dc.subjectMomentumen
dc.subject.ddc332en
dc.subject.classificationjelJ32en
dc.subject.classificationjelJ26en
dc.subject.classificationjelG23en
dc.subject.classificationjelG11en
dc.titleHow can defined contribution pension plans benefit from momentum and mean reversion ?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we assess whether the stock market downturn can be an opportunity for Defined Contribution pension plan members to reinforce their risky assets exposure? In line with the framework developed by Kojein et al. (Manag Sci 55(7):1199–1213, 2009), we consider a DC plan investor, during the accumulation phase, whose aim is to maximize his terminal wealth. Within a continuous portfolio choice model, in which stock returns exhibit both momentum and mean reversion, DC plan members are allowed to invest their pension wealth into stocks as well as cash and bond assets. We derived the optimal portfolio candidate and we show how a DC plan investor can benefit from market opportunities by taking advantage of the momentum and mean reversion stock return properties. We find that long term investors such as DC plan members would benefit from a temporary increase of the share of risky assets in their portfolio in preparation of their retirement.en
dc.relation.isversionofjnlnameEuropean Actuarial Journal
dc.relation.isversionofjnlvol1
dc.relation.isversionofjnlissuesupp. 2
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages199-231
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s13385-011-0031-3en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen


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