Drawing on a novel database of the 401(k) plans of 296 firms, we examine the international equity allocations of 3.8 million individuals over the period 2005-2011. We find enormous cross-individual variation, ranging from zero to more than 75%, and strong cohort effects, with younger cohorts...

This paper assesses the sophistication of pension funds’ investment policies using data on 748 Dutch pension funds during the 1999–2006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments in alternative sophisticated asset classes and...

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System in the period 2000 to 2010. We find that active investors outperform passive investors, and that there is a causal effect of fund changes on performance. Chosen funds...

How does portfolio of long-term investors like pension funds change relative to the stated strategic portfolio? We investigate their portfolio dynamics using an international database that spans over 20 years and focus on portfolio rebalancing. We find that a significant proportion of the change...

We analyze changes in portfolios of pension funds since the start of current low interest rate environment. We find that they have on average decreased the allocation to equity and increased the allocation to fixed income, which is inconsistent with the literature on strategic asset allocation....

This paper investigates the institutional investor allocations to real assets, private equity and hedge funds. Institutional investors delegate 85 percent of the asset management of their alternative investments to external managers and fund-of-funds. Institutions relying on these financial...

This paper measures how financial shocks - equity market, interest rate or inflation shocks - affect different generations of participants in Dutch collective pension schemes. We show that an individualized scheme, by using a life cycle investment strategy, can largely replicate the allocation...

This paper measures how financial shocks -- equity market, interest rate or inflation shocks -- affect different generations of participants in pension schemes. We show that an individual scheme, by using a life cycle investment strategy, can largely replicate the allocation of traded risks...

Recent empirical work documents large liquidity risk premiums in stock markets. We calculate the liquidity risk premiums demanded by large investors by solving a dynamic portfolio choice problem with stochastic price impact of trading, CRRA utility and a time-varying investment opportunity set....

We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...