A pay-as-you-go (paygo) pension program may provide intergenerational pooling of risks toindividuals´ labor and capital income over the life cycle. By means of a model that providesilluminating closed form solutions, we demonstrate that the magnitude of the optimal paygoprogram and the nature...

Pakistan’s pension system is in the process of increasing funding in anticipation of providing for a growing elderly population. The pension assets are mainly invested domestically, as it was just in January 2007 that regulations changed to allow the purchase of international assets. In this...

Many countries are currently increasing the advanced funding of their public pension systems to improve their sustainability in the face of rapidly aging populations. When pensions are funded, the issue of asset allocation becomes of paramount importance. Standard portfolio selection theory...

Pension reforms are on the political agenda of many countries. Such reforms imply an increasing responsibility on individuals’ side in building an efficient portfolio for retirement. In this paper we provide a model describing workers’ choices on the allocation of retirement savings in...

This study compares the performance of various fixed and lifecycle portfolio strategies for the accumulation phase of retirement planning in emerging market countries. With an expected utility framework and a bootstrapped Monte Carlo procedure, we find that the majority of emerging market...

In recent years, investment portfolio selection is growing in importance for many emerging market pension funds, as pension reforms replace traditional pay-as-you-go systems with advanced funding systems. Various investment regulations are applied to the funded pensions, particularly in the form...

A new Unemployment Insurance System based on individual accounts was launched in Chile on October 2002. One of the most interesting features of the system is given by the compensation scheme of the fund manager, which contains a performance based incentive benchmarked to one of the default...

One of the most important consequences of the Chilean pension reform undertaken in the early 1980s was to transfer a significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the newly established compulsory pension system. This...

Pension systems often entail some compulsory saving over which individuals have some degree of choice in terms of the pension plan in which to invest. Our contribution analyses whether the choice between alternative plans is affected by the presence of liquidity constraints during working life....

This paper examines the optimal allocation of risk across generations whose savings mix is subject to illiquidity in the form of uncertain trading costs. We use a stylised two-period OLG framework, where each generation makes a portfolio allocation decision for retirement, and show that...