| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11052 |
| DP11052 On the Asset Allocation of a Default Pension Fund | |
| Magnus Dahlquist; Roine Vestman; Ofer Setty | |
| 发表日期 | 2016-01-17 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals and their holdings inside and outside the pension system, we find substantial heterogeneity among default investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model incorporating a DC pension account and realistic investor heterogeneity. We examine the optimal asset allocation for different realized equity returns and investors and compare it with age-based investing. The optimal asset allocation leads to less inequality in pensions while it moderates the risks through active rebalancing. |
| 主题 | Financial Economics |
| 关键词 | Age-based investing Default fund Life-cycle model Pension plan design |
| URL | https://cepr.org/publications/dp11052 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539881 |
| 推荐引用方式 GB/T 7714 | Magnus Dahlquist,Roine Vestman,Ofer Setty. DP11052 On the Asset Allocation of a Default Pension Fund. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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