Optimizing Pension Outcomes Using Target‐Driven Investment Strategies: Evidence from Three Asian Countries with the Highest Old‐Age Dependency Ratio

As a response to unforeseeable market turbulence—such as the 2008 financial crisis and the most recent market drawdown triggered by the COVID‐19 pandemic—we propose a new pension investment strategy that could better protect a long‐term pension plan in volatile market conditions. Over a hypothetical 20‐year pension scheme and various target volatility scenarios, we show that our newly proposed strategy, which attaches a target volatility mechanism to a lifecycle strategy, could provide more effective capital protection and risk control for pension investment vehicles. Our results are robust with a consideration of transaction costs.