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Risk Management Issues for Mandatory Private Retirement Provision: Roles for Options

Following the introduction of mandatory superannuation provision in Australia, superannuation fund managers and trustees are faced with the conflicting objectives of high returns and minimal year‐on‐year volatility. This paper investigates whether repeat portfolio insurance implemented over the working life time of superannuation saving can offer a solution. Stochastic simulations show that the options‐based strategies perfor M well in comparison to traditional investment practices. Strategies combining protective puts with age phasing produce the most appealing results.