Does fixed income buffer against fraud shocks?

Artikel

Counterparty risk in the form of investment fraud damages a retiree's nest egg. Does fraud negatively impact portfolios that are both stock and bond-heavy equally? This study uses Monte Carlo analysis within the Trinity Study framework to determine the average reduction in portfolio success of a retiree who experiences fraud. Findings suggest that each incidence of fraud results in a loss of three percentage points in retirement success. However, portfolios containing some bonds (75/25, 50/50, and 25/75) outperform all equity (and all bond) allocations, particularly when fraud is present. On average, each incident of fraud reduces the chance the victim will enjoy a successful retirement by nearly 3%. Various limitations, implications, and future research possibilities are discussed.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 10 ; Pages: 1-22 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: fraud ; fraud shocks ; retirement ; portfolio success ; Monte Carlo

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Lee, Steven James
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2021

Weitere Informationen

• DOI: doi:10.3390/jrfm14100479
• Handle: http://hdl.handle.net/10419/258583
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ