Paper by Prof. Zhixin Wu and Two Seniors Published in Journal of Financial Service Professionals

March 16, 2014

Zhixin Wu, associate professor of mathematics at DePauw University, and DePauw seniors Huong Dao and Linh Phuong Nguyen are co-authors of a paper published in the Journal of Financial Service Professionals.  "Fixed-Index Annuity Return and Risk Analysis as Long-Term Investment" is a collaboration with Lei Liang, who works on the investment team of CNO Financial Group.

An abstract states, "This paper examines the risk and return of a fixed-index annuity (FIA) with an enhanced model framework that incorporates correlated market variables and changing participation rates. The performance of stock/bond portfolios is compared with that of two hypothetical FIAs (10-year monthly averaging and point-to-point) for a 70-year holding period. FIAs exhibited lower shortfall risk due to their structure. A stock/bond mix of 30/70 achieves higher risk-adjusted returns but slightly lower absolute return and higher tail risk. However, interest rate level and stock market volatility both affect the performance of FIAs."

Journal of Financial Service Professionals, a blind peer-reviewed bimonthly publication, is the oldest practitioner journal in the financial services arena. Learn more here.

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