Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258583 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 10 [Article No.:] 479 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
fraud
fraud shocks
retirement
portfolio success
Monte Carlo
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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