The only retirement contract that both insures against longevity risk and hedges against inflation is a life annuity that is linked to the consumer price index (CPI). It is denominated in the same units of account as Social Security benefits. We call it a “real annuity,” although it is also...

The Year in Review 2012 summarizes the offerings from the Research Foundation of CFA Institute over the past year — monographs, literature reviews, workshop presentations, and other relevant material

This paper analyzes how the practice of investment management has been affected over the past 45 years by technological progress, market innovations, and advances in finance theory. Over the next few decades, as retirement-income systems around the world make the transition from...

This paper examines the empirical question of whether systematic equity risk of US firms as measured by beta from the capital asset pricing model reflects the risk of their pension plans. There are a number of reasons to suspect that it might not. Chief among them is the opaque set of accounting...

This paper examines the effect of the labor-leisure choice on portfolio and consumption decisions over an individual's life cycle. The model incorporates the fact that individuals may have considerable flexibility in varying their work effort (including their choice of when to retire). Given...

This paper applies the Capital Asset Pricing Model to help explain the anomalous behavior of real interest rates during the last several years. Specifically,we are able to show that the increased volatility of bond prices since the change in Federal Reserve operating procedure in October 1979...

This paper sets out an analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied to the sovereigns economic balance sheet. A country solves an asset-liability management problem involving its sources of income and its...

The third conference on the future of life-cycle saving and investing, entitled “Financial Education and Consumer Financial Protection,” was held at the Boston University School of Management on 23–25 May 2011. Like the previous two conferences, it was organized by Professor Zvi Bodie of...

This article reviews recent scientific literature on consumer financial decisions over the life cycle, outlining its implications for the design of pension plans. It begins with a review of advances in the theory of rational financial planning and wealth management. It then summarizes the recent...

An empirical investigation of pension funding levels and plan asset allocations suggests that corporations manage their pension funds as if they are an integral part of overall corporate financial policy. This corporate financial perspective contrasts with the traditional view of pension...