Risk Analysis of Pension Fund Investment Choices
研究了1990年1月至2016年12月澳大利亚养老金投资选项的风险收益关系，采用变系数面板估计方法，发现风险随投资选项从稳健到激进增加，但平衡基金比例不影响长期风险测量，且风险收益关系对模型框架不敏感，除危机分析外。
We provide a comprehensive and more consistent approach to analyse and compare the risk‐return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coefficient panel estimation technique. We find that while risk increases across different investment options from moderate to aggressive options, using different percentages of identifying a balanced fund does not impact the long‐term risk measurement. We equally find that the risk‐return relationships of investment options are not sensitive to the modelling framework, except for the crisis analysis, in which the Fama‐French five‐factor model provides greater sensitivity.