scholarly journals The Home, Pension Savings and Risk Aversion: Intentions of the Defined Contribution Pension Plan Participants of a London-based Investment Bank at the Peak of the Bubble

Urban Studies ◽  
2011 ◽  
Vol 49 (6) ◽  
pp. 1251-1273 ◽  
Author(s):  
Gordon L. Clark ◽  
Stephen Almond ◽  
Kendra Strauss
Keyword(s):  
Risk Aversion ◽  
Pension Plan ◽  
Defined Contribution ◽  
Investment Bank ◽  
Defined Contribution Pension Plan

The effects of risk aversion and density of contribution on comparisons of administrative charges in individual account pension systems

2016 ◽  
Vol 16 (1) ◽  
pp. 1-20 ◽  
Author(s):  
LUIS CHAVEZ-BEDOYA
Keyword(s):  
Risk Aversion ◽  
Pension System ◽  
Pension Plan ◽  
Defined Contribution ◽  
Individual Retirement Accounts ◽  
Terminal Wealth ◽  
Individual Account ◽  
Retirement Accounts ◽  
Defined Contribution Pension Plan ◽  
Accumulation Phase

AbstractThis paper studies the effects of risk aversion and density of contribution (DoC) on comparisons of proportional charges on flow (contributions) and balance (assets) during the accumulation phase of a defined-contribution pension plan in a system of individual retirement accounts. If the participant's degree of risk aversion increases and both charges yield the same expected terminal wealth, then the charge on balance improves with respect to the charge on flow when performing comparisons that examine the ratio between the resulting expected utilities of terminal wealth. When this methodology is applied to the Peruvian Private Pension System, empirical results demonstrate that the aforementioned result also holds for arbitrary charges on flow and balance and that the effect of DoC on these comparisons is nearly negligible for most of the assessed scenarios.

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.

scholarly journals Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework

2018 ◽  
Vol 2018 ◽  
pp. 1-17 ◽  
Author(s):  
Liyuan Wang ◽  
Zhiping Chen
Keyword(s):  
Risk Aversion ◽  
Pension Plan ◽  
Time Inconsistency ◽  
Equilibrium Strategy ◽  
Defined Contribution ◽  
Nash Equilibrium Strategy ◽  
State Dependent ◽  
Special Cases ◽  
Fractional Function ◽  
Mean Variance

This paper investigates a defined contribution (DC) pension plan investment problem during the accumulation phase under the multiperiod mean-variance criterion. Different from most studies in the literature, where the investor’s risk aversion attitude is state-independent, we choose a state-dependent risk aversion parameter, which is a fractional function of the current wealth level. Moreover, we incorporate the wage income factor into our model, which leads to a more complicated problem than the portfolio selection problems that appeared in relevant papers. Due to the time inconsistency of the resulting problem, we derive the explicit expressions for the equilibrium strategy and the corresponding equilibrium value function by adopting the game theoretic framework and using the extended Bellman equation. Further, two special cases are discussed. Finally, based on real data from the American market, some prominent features of the equilibrium strategy established in our theoretical derivations are provided by comparing them with the results in the existing literature.

scholarly journals Optimization of the Actuarial Model of Defined Contribution Pension Plan

2014 ◽  
Vol 2014 ◽  
pp. 1-7
Author(s):  
Yan Li ◽  
Yuchen Huang ◽  
Yancong Zhou
Keyword(s):  
Pension Plan ◽  
Pension Plans ◽  
Current Status ◽  
Defined Contribution ◽  
Replacement Ratio ◽  
Investment Rate ◽  
Defined Contribution Pension Plan ◽  
Actuarial Model

The paper focuses on the actuarial models of defined contribution pension plan. Through assumptions and calculations, the expected replacement ratios of three different defined contribution pension plans are compared. Specially, more significant considerable factors are put forward in the further cost and risk analyses. In order to get an assessment of current status, the paper finds a relationship between the replacement ratio and the pension investment rate using econometrics method. Based on an appropriate investment rate of 6%, an expected replacement ratio of 20% is reached.

The decline of defined benefit plans and job tenure

2008 ◽  
Vol 8 (3) ◽  
pp. 259-290 ◽  
Author(s):  
ALLISON SCHRAGER
Keyword(s):  
Pension Plan ◽  
Job Turnover ◽  
Defined Benefit ◽  
Defined Contribution ◽  
Job Tenure ◽  
Benefit Plan ◽  
Job Separation ◽  
Defined Benefit Plans ◽  
Defined Contribution Pension Plan ◽  
Defined Contribution Plan

AbstractThis paper investigates the consequences of relying on assets accumulated in a defined contribution pension plan compared to an annuity based on salary from a defined benefit plan. Although a defined contribution plan varies with asset returns, it may be more desirable than a defined benefit plan when wage variability and job turnover are adequately considered. It is found that both job separation rates and wage variance increased in the 1990s. The new calibrations of these variables are used in a life-cycle model where a worker chooses between a defined benefit and a defined contribution plan. It is shown that the increase in job turnover made defined contribution the dominant pension plan.

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