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Saving for retirement in Europe: the long-term risk-return tradeoff

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  • Berardi, Andrea
  • Tebaldi, Claudio

Abstract

A comparison of the performances of pension products that ignores long-term trends might significantly overestimate the long-term impact of volatility risks while underestimating the impact of persistent, low-frequency trends. This paper proposes a comparison making use of projection models based on the long-term risk–return tradeoff proposed by Campbell and Viceira (2005) to explicitly take into account slow-moving economic trends. In order to illustrate the approach and its implications, we discuss the capital protection provided by life-cycle target-date fund strategies and minimum guarantee strategies.

Suggested Citation

  • Berardi, Andrea & Tebaldi, Claudio, 2024. "Saving for retirement in Europe: the long-term risk-return tradeoff," Journal of Pension Economics and Finance, Cambridge University Press, vol. 23(2), pages 272-293, April.
  • Handle: RePEc:cup:jpenef:v:23:y:2024:i:2:p:272-293_6
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