This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the...

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...

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 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....

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...

We examine the activity and performance of a large panel of individual investors (approximately 70,000 investors and their daily returns over the 2000 to 2010 period) in Sweden's Premium Pension System. We document strong inertia in individuals' choices and changes of mutual funds. We find that...

Nonostante le modifiche alle prestazioni previdenziali pubbliche e la crescente consapevolezza che in futuro sarà necessario integrare le pensioni statali con risorse aggiuntive accumulate durante la carriera lavorativa, l’attitudine dei lavoratori italiani nei confronti della previdenza...

This paper investigates whether mutual fund families acting as trustees of 401(k) plans display favoritism toward their own funds. Using a hand-collected dataset on retirement investment options, we show that poorly-performing funds are less likely to be removed from and more likely to be added...

Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...

Important behavioral factors such as default and framing effects are increasingly being employed to optimize decision-making in a variety of settings, including individually-directed retirement plans. Yet such approaches may have unintended "spillover" effects, as we show with regard to the...