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Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
Coimbra, Nuno; Gomes, Francisco; Michaelides, Alexander; … - 2023
We show that incorporating defined benefit pension funds in an asset pricing model with incomplete markets improves its ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We emphasize the importance of the pension fund's...
Persistent link: https://www.econbiz.de/10014351210
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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Should Corporate Pensions Invest in Risky Assets? A Risk-sharing Perspective
Li, Wei - 2020
allocation and the relations among pension investment risk, corporate bankruptcy probability, and pension funding. Further, we …
Persistent link: https://www.econbiz.de/10012850993
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Optimal Risk-Sharing in Pension Funds When Stock and Labor Markets are Co-Integrated
Boelaars, Ilja - 2018
A well established believe in the pension industry is that collective pension funds should take more stock market risk (compared to individual retirement accounts) since risk may be shared with future generations. We extend the OLG model of Gollier (2008) by adding labor income risk in the...
Persistent link: https://www.econbiz.de/10012917289
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Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?
Gutierrez, Tomás - 2018
In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls … intended design and outperform funds created by means of asset allocation limits …
Persistent link: https://www.econbiz.de/10012913303
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Intergenerational sharing of unhedgeable inflation risk
Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022
We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...
Persistent link: https://www.econbiz.de/10013460026
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The (Re)allocation of Bank Risk
Bekaert, Geert - 2020
) more severe than the domestic concentration of non-bank corporate securities and sovereign debt. Fifth, re-allocation is …
Persistent link: https://www.econbiz.de/10012848093
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When Risk and Return are Not Enough : The Role of Loss Aversion in Private Investors' Choice of Mutual Fund Fee Structures
Ehm, Christian - 2014
performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …
Persistent link: https://www.econbiz.de/10013064139
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Dual-price Integration Risks and Closed-end Fund Premiums
Aboulamer, Anas - 2016
In a frictionless world, a closed-end fund's (CEF's) premium equals its price minus both its NAVPS (net asset value per share) and present value of the net benefits (PVNB) from liquidity enhancement, managerial abilities after costs, and leverage. The premium can differ further due to frictions...
Persistent link: https://www.econbiz.de/10013007982
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Heterogeneity in Target-Date Funds : Optimal Risk-Taking or Risk Matching?
Balduzzi, Pierluigi - 2015
Following the Pension Protection Act of 2006, there was a sharp increase in the use of TDFs as default investment options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles, even for funds with the same target retirement date. Using...
Persistent link: https://www.econbiz.de/10013037083