Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
On the Asset Allocation of a Default Pension Fund
Stockholm University, Faculty of Social Sciences, Department of Economics.
Number of Authors: 32018 (English)In: Journal of Finance, ISSN 0022-1082, E-ISSN 1540-6261, Vol. 73, no 4, p. 1893-1936Article in journal (Refereed) Published
Abstract [en]

We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth, and stock market participation. We build a life-cycle consumption-savings model, with a DC pension account and an opt-out/default choice, that produces realistic investor heterogeneity. Relative to a common age-based allocation, implementing the optimal default asset allocation implies a welfare gain of 1.5% during retirement. Much of the gain is attainable with a simple rule of thumb.

Place, publisher, year, edition, pages
2018. Vol. 73, no 4, p. 1893-1936
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:su:diva-160150DOI: 10.1111/jofi.12697ISI: 000442594400010OAI: oai:DiVA.org:su-160150DiVA, id: diva2:1248836
Available from: 2018-09-17 Created: 2018-09-17 Last updated: 2018-09-17Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full text

Search in DiVA

By author/editor
Vestman, Roine
By organisation
Department of Economics
In the same journal
Journal of Finance
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 6 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf