Pension funds’ risk appetite and demography

  • Edwin Lambregts Edwin Lambregts
  • Sophie Steins Bisschop Sophie Steins Bisschop
  • Wouter Vinken Wouter Vinken

This thesis has been awarded the Netspar Tias-Netspar Academy Thesis Award 2013.

Using an unique data set, this paper investigates the relationship between Dutch pension funds’ risk appetite and age. By applying a multivariate regression model, we find that pension funds with a higher average age of active participants have smaller exposures to equity risk than funds with on average younger active participants. This negative relationship is robust for the year prior to the crisis and thereafter, and also for broader proxies of financial market risk, including real estate, credit and interest rate risk. These findings may suggest that pension funds invest in line with the life cycle theory.

Netspar, Network for Studies on Pensions, Aging and Retirement, is a thinktank and knowledge network. Netspar is dedicated to promoting a wider understanding of the economic and social implications of pensions, aging and retirement in the Netherlands and Europe.


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