The Role of Sex in the Assessment of Return and Downside Risk in Decumulation Financial Planning-Reference-Cited by-同舟云学术

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

Published:2024-09-06 Issue:9 Volume:12 Page:142
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Betzuen Álvarez Amaia Jone¹^ORCID,Betzuen Zalbidegoitia Amancio²

Affiliation:

1. Department of Economics and Finance II, Faculty of Business and Economics, University of the Basque Country, Campus of Vizcaya, Av/Lehendakari Agirre 83, 48015 Bilbao, Spain

2. Independent Researcher, Av/Lehendakari Agirre 44, 48014 Bilbao, Spain

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.

Funder

University of the Basque Country UPV/EHU, Research Group ECISE

Publisher

MDPI AG

Link

https://www.mdpi.com/2227-9091/12/9/142/pdf

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