On the Asset Allocation of a Default Pension Fund

• 成果类型: Article
• 署名作者: Dahlquist, Magnus; Setty, Ofer; Vestman, Roine
• 署名单位: Stockholm School of Economics; Centre for Economic Policy Research - UK; Tel Aviv University; Stockholm University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12697
• 发表日期: 2018
• 页码: 1893-1936
• 关键词: life-cycle; portfolio choice; Defined contribution; social-security; stock-market; savings behavior; plans; consumption; COSTS; MODEL

摘要

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.