The paper presents a model of retirement plan enrollment, under the presence of a default asset portfolio, in which consumers have a propensity to procrastinate and risk preferences are heterogeneous. The model is based on Caroll et al (2005), but instead of the savings rate, the agent optimally...

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Warren Buffett has consistently advised investors to follow a simple approach, diversifying broadly and minimizing costs. In fact, he recommended the trustee that will manage his wife's bequest to stick to a simple 90-10 stock-bond portfolio. Is this a sensible strategy for retirees in general?...

We propose an optimization criterion that yields extraordinary consumption smoothing compared to the well known results of the life-cycle model. Under this criterion we solve the related consumption and investment optimization problem faced by individuals with preferences for intertemporal...

We employ a life-cycle model with income risk to analyze how tax-deferred individual accounts affect households' savings for retirement. We consider voluntary accounts as opposed to mandatory accounts with minimum contribution rates. We contrast add-on accounts with carve-out accounts that...

Financial provision for old age is a serious issue. This paper therefore begins by outlining the pension situation in Germany, arriving at the conclusion that, as matters stand at present, none of the three "pillars" of pension provision - state and occupational pensions and private pension...

We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...