Imperial College London
Alternate

Alexander Michaelides

Business School

Professor of Finance
 
 
 
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Contact

 

a.michaelides Website CV

 
 
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Location

 

1.06B53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Gomes:2022:10.1287/mnsc.2021.3981,
author = {Gomes, F and Michaelides, A and Zhang, Y},
doi = {10.1287/mnsc.2021.3981},
journal = {Management Science},
pages = {2377--3174},
title = {Tactical target date funds},
url = {http://dx.doi.org/10.1287/mnsc.2021.3981},
volume = {68},
year = {2022}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical target date funds (TTDFs) is extremely simplified relative to the optimal one, making it easy to implement and to communicate to investors. We show that saving for retirement in TTDFs generates economically large welfare gains, even after we introduce turnover restrictions and transaction costs, and after taking into account parameter uncertainty. This predictability also appears to be uncorrelated with individual household risk, suggesting that households are in a prime position to exploit it.
AU  - Gomes,F
AU  - Michaelides,A
AU  - Zhang,Y
DO  - 10.1287/mnsc.2021.3981
EP  - 3174
PY  - 2022///
SN  - 0025-1909
SP  - 2377
TI  - Tactical target date funds
T2  - Management Science
UR  - http://dx.doi.org/10.1287/mnsc.2021.3981
UR  - http://hdl.handle.net/10044/1/86142
VL  - 68
ER  -
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