Title: Frequency-based bootstrap methods for modeling risk and return of DC pension plan strategies (virtual presentation)
Authors: Aya Ghalayini - Lancaster University (United Kingdom) [presenting]
Rami Chehab - University of Exeter (United Kingdom)
Richard Harris - University of Exeter (United Kingdom)
Abstract: The use of conventional bootstrap methods, such as Standard Bootstrap (SB) and Moving Block Bootstrap (MBB), to produce long-run returns to rank pension strategies based on its associated reward and risk, might be misleading. Therefore, a simple pension model, that is mainly concerned with the long-term accumulation of wealth, is used to assess, for the first time, different bootstrap methods in this context. One of the main findings is that the Multivariate Fourier Bootstrap gives the most satisfactory result in its ability to mimic the `true' distribution using Cramer-von-mises statistics. Also, the disagreement in the pension literature on selecting the best pension plan strategy is addressed. A comprehensive study is presented to compare different strategies using different bootstrap procedures with different cash-flow performance measures across a range of countries. Indeed, the other finding is that bootstrap methods play a critical role in determining the optimal strategy. Additionally, different cash-flow performance (CFP) measures rank pension plans differently across countries and bootstrap methods.