Risk, return and portfolio allocation under alternative pension systems with incomplete and imperfect financial markets

• 成果类型: Article
• 署名作者: Miles, D; Cerny, A
• 署名单位: Imperial College London; Imperial College London
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2006.01091.x
• 发表日期: 2006
• 页码: 529-557
• 关键词: privatizing social-security; consumption; constraints; income

摘要

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.