Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading

2017 ◽  
Vol 260 (1-2) ◽  
pp. 515-544 ◽  
Author(s):  
Busra Zeynep Temocin ◽  
Ralf Korn ◽  
A. Sevtap Selcuk-Kestel
Keyword(s):  
Discrete Time ◽  
Pension Plan ◽  
Defined Contribution ◽  
Portfolio Insurance ◽  
Constant Proportion ◽  
Defined Contribution Pension Plan ◽  
Constant Proportion Portfolio Insurance ◽  
Plan Management

The effect of age on portfolio choices: evidence from an Italian pension fund

2014 ◽  
Vol 13 (4) ◽  
pp. 389-419 ◽  
Author(s):  
GIUSEPPE CAPPELLETTI ◽  
GIOVANNI GUAZZAROTTI ◽  
PIETRO TOMMASINO
Keyword(s):  
Stock Prices ◽  
Older Workers ◽  
Fixed Effects ◽  
Pension Plan ◽  
Defined Contribution ◽  
Risky Assets ◽  
Portfolio Choices ◽  
Defined Contribution Pension Plan ◽  
Recent Financial Crisis ◽  
Effect Of Age

AbstractAccording to optimal portfolio theories, investors should reduce their exposure to stock market risk as they grow old. Indeed, older workers, with only a few years left before retirement, are particularly vulnerable to unexpected falls in stock prices. Despite the theoretical and – as shown by the recent financial crisis – policy relevance of the issue, empirical evidence on this topic has been scant and inconclusive. The aim of the present paper is to assess the effect of age on portfolio choices, using a new panel dataset from an Italian defined-contribution pension plan. We find that on average holdings of risky assets do indeed significantly decrease with age. However, the effect is non-linear, being much stronger in the last part of one's career. Moreover, we also document that inertial behaviour is quite widespread, and can be very costly. Results are confirmed when we control for individual fixed effects and cohort effects.

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