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Individual Pension Risk Preference Elicitation and Collective Asset Allocation With Heterogeneity
Alserda, Gosse - 2019
Collectively organized pension plans must increasingly demonstrate that the risk preferences of their members are … adequately reflected in the plans' asset allocations. However, whether funds should elicit individual members' risk preferences … address this question, we apply a tailored augmented lottery choice method to elicit individual pension income risk …
Persistent link: https://www.econbiz.de/10012902472
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Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan
Di Giacinto, Marina - 2010
This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.This problem has already been treated in the unconstrained case in a number of papers. The aim...
Persistent link: https://www.econbiz.de/10013143952
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Target-Driven Investing : Optimal Investment Strategies in Defined Contribution Pension Plans Under Loss Aversion
Blake, David P. - 2016
switches to ‘portfolio insurance'. We show that the risk of failing to attain the target replacement ratio is significantly …
Persistent link: https://www.econbiz.de/10012997284
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Asset allocation efficiency from dynamic and static strategies in underfunded pension funds
Park, Chunsuk; Kim, Dong-soon; Lee, Kaun Y. - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 2-22
been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation. …
Persistent link: https://www.econbiz.de/10012887251
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Portfolio Restriction to Impose on Defined Benefit Pension Plans
Romaniuk, Katarzyna - 2012
follow asset-liability management principles. A low risk investment policy, as defined by the preference …
Persistent link: https://www.econbiz.de/10013112139
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Individual investor activity and performance
Dahlquist, Magnus; Martinez, José Vincente; … - 2014 - This version: March 2014
System. We find that active investors earn higher returns and risk-adjusted returns than inactive investors. A performance …
Persistent link: https://www.econbiz.de/10010410816
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Reversed default behaviour in a new defined contribution pension system
Engström, Stefan (contributor);  … - 2003 - [Elektronische Ressource], Rev. August 12, 2003
This paper provides a detailed examination of individuals' active participation in a new public and mandatory defined contribution pension system. The new pension system was launched in the fall of 2000 and entitles Sweden's workforce of 4.4 million individuals to invest part of their individual...
Persistent link: https://www.econbiz.de/10001753272
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Investor Inattention : A Hidden Cost of Choice in Pension Plans?
Dahlquist, Magnus - 2011
means that pension investors face a greater risk of being caught in poorly performing funds. Our evidence suggests that …
Persistent link: https://www.econbiz.de/10013132013
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Pension Funds’ Asset Allocation and Participant Age : A Test of the Life-Cycle Model
Broeders, Dirk - 2011
a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic … equity exposure positively and significantly, in line with theory. Pension plan type and pension fund type have no …
Persistent link: https://www.econbiz.de/10013134156
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Pension Funds’ Asset Allocation and Participant Age : A Test of the Life-Cycle Model
Bikker, Jacob Antoon - 2011
a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic … equity exposure positively and significantly, in line with theory. Pension plan type and pension fund type have no …
Persistent link: https://www.econbiz.de/10013134428