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 time overlapping generations model with labor income risk and … optimal risk-sharing actually implies that collective pension funds should take less stock market risk, not more. If stock and …

intergenerational risk sharing (IRS) rule.Through a simulation-based study, we show that the CDC scheme consistently outperforms the … comparable individual DC scheme in terms of risk-adjusted performance. An extensive sensitivity analysis indicates that this …

maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this … approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls …

market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

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 … participants receive an arbitrage-free return on the market risk they bear. The fact that the participants' claim on the CDC …

between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by …

Failure to correct for pension risk leads to upward-biased discount rate estimates in firms with pension risk exposure …. The result is a negative and economically significant relation between pension risk and corporate investment. The effect …

We use a modified corporate risk management framework (e.g., Froot and Stein, 1998) to understand how inefficient risk … declining popularity. For reasonable parameter values, our model matches key empirical patterns including pension's risk … allocation and the relations among pension investment risk, corporate bankruptcy probability, and pension funding. Further, we …

ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We … risk channel arising from fluctuations in the fund's endowment. We use our calibrated model to study the implications of a …