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Default Investment Strategies in a Defined Contribution Pension System : A Pension Risk Model Application for the Chilean Case
Villatoro, Félix - 2014
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...
Persistent link: https://www.econbiz.de/10013050037
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Age-Dependent Investing : Optimal Funding and Investment Strategies in Defined Contribution Pension Plans When Members are Rational Life Cycle Financial Planners
Blake, David P. - 2016
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...
Persistent link: https://www.econbiz.de/10012997297
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From PAYG to Private Pensions : Income Gaps, Asset Allocation and Diversification Benefits
Berk, Ales S. - 2012
PAYG pensions. Without sufficient savings during the active period, individuals will increasingly end up in poverty. Their … savings will not be enough to support their desired consumption in old age. Second, we highlight the impact of the asset … illiteracy about both required savings and about decisions on appropriate asset class play a significant role in determining the …
Persistent link: https://www.econbiz.de/10013102070
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Absolute Momentum, Sustainable Withdrawal Rates and Glidepath Investing in US Retirement Portfolios From 1925
Clare, Andrew - 2019
A significant part of the development in pension provision in many countries is the emergence of ‘Target Date Funds' or TDFs. In this paper we examine the proposition of de-risking through life and the guidance offered by TDFs in the decumulation phase following retirement. We investigate the...
Persistent link: https://www.econbiz.de/10012889289
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The True Impact of Immediate Annuities on Retirement Sustainability : A Total Wealth Perspective
Kitces, Michael - 2013
Persistent link: https://www.econbiz.de/10013078777
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On the Equity and Interest Rate Predictability for Balanced Portfolios and Coverage Ratios for Pension Plans
Hamelink, Foort - 2011
The purpose of this study is twofold. On one hand we derive an optimal allocation framework between stocks and bonds, with and without a momentum factor, taking into account a regime-switching model based on monthly equity and interest rate data since 1870. On the other, we investigate the...
Persistent link: https://www.econbiz.de/10013119533
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Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems
Castaneda, Pablo - 2009
Regulation in countries that have adopted defined contribution (DC) pension systems based on savings accounts typically …
Persistent link: https://www.econbiz.de/10013159766
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Pension Fund ALM - Can Pension Funds Stabilize Funding Levels and Improve Long-Term Return by Hedging Longevity Risk?
Schrager, David - 2019
In this paper we analyze the impact hedging longevity risk can have on a pension fund's funding ratio volatility and ALM strategy. Our model captures all relevant aspects of the ALM problem and is calibrated to industry statistics; however, we've sacrificed model complexity to make the solution...
Persistent link: https://www.econbiz.de/10012871632
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Swiss pension funds : funding ratio, discount rate, and asset allocation
Schäublin, Jorma J. - In: Swiss journal of economics and statistics 158 (2022) 1, pp. 1-23
The funding ratio is a financial indicator to measure the viability of pension funds. The paper analyzes how Swiss occupational pension funds' technical discount rate and asset allocation are related to the funding ratio. The paper shows that funds with weaker funding ratios apply higher rates...
Persistent link: https://www.econbiz.de/10013269807
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Investment Risk Minimization and Optimization of Future Pension Plans
Vodička, Peter - 2023
Thesis is a collection of three papers with several contributions to the optimisation of future pension plans for the long-term savers while minimising their investment risk. Since pillar aim is to improve the transparency of the pension funding, we develop investment strategies for individual...
Persistent link: https://www.econbiz.de/10014254993