The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion produced an economic crisis for the rest of the economy via high unemployment and...

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule.Through a...

A well-established belief in the pension industry is that collective pension funds with mandatory participation can take more stock market risk compared to pension schemes based on individual retirement accounts, because current risks can be shared with future generations. We setup a continuous...

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...

This paper describes the application of two different techniques for measuring sustainable withdrawal rates during retirement and the associated risks in running out of funds in the retirement savings pool. The first is a bootstrap simulation approach using recent Australian equity and bond...

This paper examines the allocation of market risk in a general class of collective pension arrangements: Collective Defined Contribution (CDC) schemes. In a CDC scheme participants collectively share funding risk through benefit level adjustments. There is a concern that, if not well designed,...

Financial researchers agree that allocating money to employer stock in a 401(k) plan is a poor strategy, yet many employees do so. Not only does this investment strategy bear unrewarded idiosyncratic risk, but it also correlates employees' retirement portfolios with their human capital. I find...

Alpha, or outperformance of a benchmark, can be generated in many ways within a portfolio. It can be created by picking the top hedge fund managers, or by capturing the illiquidity premium via alternative assets. Venture capital is a major source of alpha for long-term investors. Alpha can also...

Corporate social responsibility (CSR), as a concept that tackles economic, The introduction of private pension funds is the essence of the reform of the pension system in Serbia. Private pension funds in Serbia are based on voluntary benefits. Thus, the functioning of the pension system takes...