In this note, we focus on the portfolio optimization problem for a DC pension fund. We extended the work in [Gao, J., 2009. Optimal portfolios for DC pension plans under a CEV model. Insurance: Mathematics & Economics 44, 479-490] by considering pension funds with multiple contributors. Benefit...

How does portfolio of long-term investors like pension funds change relative to the stated strategic portfolio? We investigate their portfolio dynamics using an international database that spans over 20 years and focus on portfolio rebalancing. We find that a significant proportion of the change...

A defined contribution pension plan allows consumption to be redistributed from the plan member's working life to retirement in a manner that is consistent with the member's personal preferences. The plan's optimal funding and investment strategies therefore depend on the desired profile of...

This paper uses unique and detailed transaction data to analyse herding behavior among pension funds. We distinguish between weak, semi strong and strong herding behaviour. Weak herding occurs if pension funds have similar rebalancing strategies. Semi strong herding arises when pension funds...

We study the dynamic consumption-portfolio problem over the life cycle, with respect to tax-deferred investing for investors who acquire housing services by either renting or owning a home. The joint existence of these two investment vehicles creates potential for tax arbitrage. Specifically,...

Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they will not change. In practice, new static glidepaths may...

Consumer demand and regulatory changes in the UK, is driving growth of innovative solutions that are easier to use, simpler to understand, offer good value for money, and create better customer outcomes. A key tool in this growing sector are asset allocation funds such as Target Date Funds...

This paper derives optimal consumption, investment, and annuitization patterns for retired households that have access to German-style participating payout life annuities (PLAs), allowing for capital market risks as well as idiosyncratic and systematic longevity risks. PLAs provide guaranteed...

In a defined contribution pension system, one of the main risks faced by members refers to the investment of funds. In this context, we discuss which is the most suitable risk measurement for the affiliates to the pension system. Different life-cycle investment strategies are evaluated under...

The central issue of this paper is analysis and resulting proposals to help unsophisticated pension participants achieve pension portfolios that match their level of risk aversion when there is a large amount of unexplained heterogeneity in risk aversion. Target date funds are commonly used as...