On the asset allocation of a default pension fund

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.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2023-2027           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

B20160708_tilburg university
B20200214_BlackRock_BLK_eng_black_rgb_small
B20200104_RailOV_logoo.original.grijswaarden
Print
B20190823_mn-logo_small
Bekijk al onze partners