@article{ART002289304},
author={Yongtae Kim and Sung Jooho and Doyoung Cheong},
title={Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2017},
volume={28},
number={4},
pages={99-126},
doi={10.23842/jif.2017.28.4.003}
TY - JOUR
AU - Yongtae Kim
AU - Sung Jooho
AU - Doyoung Cheong
TI - Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans
JO - Journal of Insurance and Finance
PY - 2017
VL - 28
IS - 4
PB - Korea Insurance Research Institute
SP - 99
EP - 126
SN - 2384-3209
AB - There exist lots of difficulties for individual investors to apply the mean-variance framework to their investment decision making, although the framework has been the mainstream of modern investment theory. According to the recent research papers, many of DC participants’ portfolios are carelessly focused on risk-free assets with low expected returns. In this paper, we introduce Goal-Based Investing using stochastic dominance for DC participants. GBI is an investment theory that integrates the advantages of traditional Markowitz theory and Behavioral Portfolio Theory. Hereby, the investment risk is measured as not the standard deviation of return but the probability of failing to reach goals. Also, GBI investors can divide their aggregated assets into the subportfolios which have different investment goals. Through this solution, investors will be able to make the more accurate estimation of their risk attitudes and invest their pension assets to the appropriate financial products. We hope that this paper could contribute to asset allocation strategies for DC participants to achieve investment goals.
KW - goal-based investing;stochastic dominance;mental accounting;DC pension plan;investment risk;subportfolios
DO - 10.23842/jif.2017.28.4.003
ER -
Yongtae Kim, Sung Jooho and Doyoung Cheong. (2017). Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans. Journal of Insurance and Finance, 28(4), 99-126.
Yongtae Kim, Sung Jooho and Doyoung Cheong. 2017, "Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans", Journal of Insurance and Finance, vol.28, no.4 pp.99-126. Available from: doi:10.23842/jif.2017.28.4.003
Yongtae Kim, Sung Jooho, Doyoung Cheong "Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans" Journal of Insurance and Finance 28.4 pp.99-126 (2017) : 99.
Yongtae Kim, Sung Jooho, Doyoung Cheong. Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans. 2017; 28(4), 99-126. Available from: doi:10.23842/jif.2017.28.4.003
Yongtae Kim, Sung Jooho and Doyoung Cheong. "Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans" Journal of Insurance and Finance 28, no.4 (2017) : 99-126.doi: 10.23842/jif.2017.28.4.003
Yongtae Kim; Sung Jooho; Doyoung Cheong. Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans. Journal of Insurance and Finance, 28(4), 99-126. doi: 10.23842/jif.2017.28.4.003
Yongtae Kim; Sung Jooho; Doyoung Cheong. Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans. Journal of Insurance and Finance. 2017; 28(4) 99-126. doi: 10.23842/jif.2017.28.4.003
Yongtae Kim, Sung Jooho, Doyoung Cheong. Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans. 2017; 28(4), 99-126. Available from: doi:10.23842/jif.2017.28.4.003
Yongtae Kim, Sung Jooho and Doyoung Cheong. "Goal-Based Investing with Stochastic Dominance in Defined Contribution Plans" Journal of Insurance and Finance 28, no.4 (2017) : 99-126.doi: 10.23842/jif.2017.28.4.003
