By analyzing the portfolio allocations of Target Date Funds (TDFs), we document that the observed durations of TDF portfolios are inconsistent with the durations predicted by classical portfolio theory. We call this stylized fact the duration puzzle. We investigate to what extent several...

This paper measures how financial shocks - equity market, interest rate or inflation shocks - affect different generations of participants in Dutch collective pension schemes. We show that an individualized scheme, by using a life cycle investment strategy, can largely replicate the allocation...

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 measures how financial shocks -- equity market, interest rate or inflation shocks -- affect different generations of participants in pension schemes. We show that an individual scheme, by using a life cycle investment strategy, can largely replicate the allocation of traded risks...

This paper explores optimal consumption and portfolio decisions in the presence of risky house prices. We assume that changes in real interest rates and future rents directly impact house prices. A novel aspect of our model is that rent inflation rates and consumption inflation rates are...

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...