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

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Author Info
David Miles
Ales Cerny

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Abstract

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.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0297.2006.01091.x
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Publisher Info
Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 116 (2006)
Issue (Month): 511 (04)
Pages: 529-557
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Handle: RePEc:ecj:econjl:v:116:y:2006:i:511:p:529-557

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  1. Barrett, Alan & Kearney, Ide & O'Brien, Martin, 2007. "Quarterly Economic Commentary, Summer 2007," Forecasting Report, Economic and Social Research Institute (ESRI), number QEC20072, August. [Downloadable!]
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  2. Whelan, Shane, 2007. "Valuing Ireland's Pension System," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2007(2-Summer), pages 55-80. [Downloadable!]
  3. Cerny, Ales & Miles, David K & Schmidt, Lubomir, 2005. "The Impact of Changing Demographics and Pensions on The Demand for Housing and Financial Assets," CEPR Discussion Papers 5143, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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