Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds ....Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds returns. This study will investigate the risk and return trade-off of including hedge funds in superannuation portfolios and provide trustees with empirical tools to determine the optimal allocation to hedge funds.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200101266
Funder
Australian Research Council
Funding Amount
$420,039.00
Summary
Demystifying Puzzles in Retirement Planning. This project aims to investigate optimal retirement planning with stochastic and ambiguous mortality/longevity risks not previously considered in a unifying framework. By using an innovative approach utilising techniques from actuarial science, financial mathematics and stochastic control, this project expects to generate new knowledge in the area of personal longevity risk management. Expected outcome of the project include new insights to several pu ....Demystifying Puzzles in Retirement Planning. This project aims to investigate optimal retirement planning with stochastic and ambiguous mortality/longevity risks not previously considered in a unifying framework. By using an innovative approach utilising techniques from actuarial science, financial mathematics and stochastic control, this project expects to generate new knowledge in the area of personal longevity risk management. Expected outcome of the project include new insights to several puzzling questions in retirement studies. This should provide significant benefits to retirement education for retirees facing the risk of outliving retirement savings, thereby mitigating the pressing challenge caused by population ageing and longevity risk to pension systems in many countries.Read moreRead less
Modelling the Risk of Defined Contribution Superannuation Plans. The provision of retirement income is undergoing significant change - a shift from unfunded social security towards private funding and, within the privately funded sector, a shift from defined-benefit (DB) to defined-contribution (DC) plans. The research will develop a new framework, based on stochastic simulation, to undertake innovative critical analyses of the riskiness of DC superannuation plans. It extends existing work by ....Modelling the Risk of Defined Contribution Superannuation Plans. The provision of retirement income is undergoing significant change - a shift from unfunded social security towards private funding and, within the privately funded sector, a shift from defined-benefit (DB) to defined-contribution (DC) plans. The research will develop a new framework, based on stochastic simulation, to undertake innovative critical analyses of the riskiness of DC superannuation plans. It extends existing work by the inclusion of insitutional, regulatory and labour market features of the superannuation system. The results of the research, based on more finite modelling and greater economic accuracy, will be vital in informing retirement policy.Read moreRead less