Risk, Return and Portfolio Allocation Under Alternative Pension Systems with Incomplete and Imperfect Financial Markets

Datos Bibliográficos

ID9703040
AutoresDavid Miles (0000-0002-6387-0041, Morgan Stanley and Imperial College, London), Aleš Černý (0000-0001-5583-6516, Imperial College London)
Año2006
Volumen116
Número511
Páginas529-557
Fecha de publicación2006-04-01
Peer ReviewedSí
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/j.1468-0297.2006.01091.x
OpenAlexW2108243265
IdiomaEN
Citas recibidas2
Referencias citadas29

This article uses stochastic simulations on a calibrated model to assess the impact of different pension reform strategies where financial markets are less than perfect. We investigate the optimal split between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different types of pension system when there are imperfections in financial markets. This article calculates the expected welfare of agents of different cohorts under various policy scenarios. We estimate how the optimal level of unfunded, state pensions depends on rate of return and income risks and also upon preferences. Copyright 2006 Royal Economic Society

Economics · Financial economics · Financial market · Imperfect · Pension · Portfolio · Portfolio allocation · Finance · Financial Literacy, Pension, Retirement Analysis · Global Health Care Issues · Insurance, Mortality, Demography, Risk Management