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Regret, portfolio choice, and guarantees in defined contribution schemes

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  • Muermann, Alexander
  • Mitchell, Olivia S.
  • Volkman, Jacqueline M.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4JKHKYD-1/2/3bfcab4068550450ea57494150486cc4
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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 39 (2006)
Issue (Month): 2 (October)
Pages: 219-229

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Handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:219-229

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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  1. Brigitte C. Madrian & Dennis F. Shea, 2000. "The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior," NBER Working Papers 7682, National Bureau of Economic Research, Inc.
  2. Julie Agnew & Pierluigi Balduzzi & Annika Sundén, 2003. "Portfolio Choice and Trading in a Large 401(k) Plan," American Economic Review, American Economic Association, vol. 93(1), pages 193-215, March.
  3. Marie-Eve Lachance & Olivia S. Mitchell, 2003. "Understanding Individual Account Guarantees," Working Papers wp035, University of Michigan, Michigan Retirement Research Center.
  4. Loomes, Graham & Sugden, Robert, 1982. "Regret Theory: An Alternative Theory of Rational Choice under Uncertainty," Economic Journal, Royal Economic Society, vol. 92(368), pages 805-24, December.
  5. Kent Smetters, 2002. "Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions," NBER Working Papers 8732, National Bureau of Economic Research, Inc.
  6. Feldstein, Martin & Samwick, Andrew, 2001. "Potential Paths of Social Security Reform," Scholarly Articles 2920119, Harvard University Department of Economics.
  7. Marie-Eve Lachance & Olivia S. Mitchell, 2002. "Guaranteeing Defined Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise," NBER Working Papers 8731, National Bureau of Economic Research, Inc.
  8. Loomes, Graham, 1988. "Further Evidence of the Impact of Regret and Disappointment in Choice under Uncertainty," Economica, London School of Economics and Political Science, vol. 55(217), pages 47-62, February.
  9. Boulier, Jean-Francois & Huang, ShaoJuan & Taillard, Gregory, 2001. "Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 173-189, April.
  10. Michael Braun & Alexander Muermann, 2004. "The Impact of Regret on the Demand for Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(4), pages 737-767.
  11. van der Hoek, John & Sherris, Michael, 2001. "A class of non-expected utility risk measures and implications for asset allocations," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 69-82, February.
  12. Loomes, Graham & Sugden, Robert, 1987. "Testing for Regret and Disappointment in Choice under Uncertainty," Economic Journal, Royal Economic Society, vol. 97(388a), pages 118-29, Supplemen.
  13. Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 2003. "Optimal investment strategies in the presence of a minimum guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 189-207, August.
  14. Quiggin, John, 1994. "Regret Theory with General Choice Sets," Journal of Risk and Uncertainty, Springer, vol. 8(2), pages 153-65, March.
  15. Starmer, Chris & Sugden, Robert, 1993. " Testing for Juxtaposition and Event-Splitting Effects," Journal of Risk and Uncertainty, Springer, vol. 6(3), pages 235-54, June.
  16. Griselda Deelstra & Martino Grasselli & Pierre-François Koehl, 2003. "Optimal investment strategies in the presence of a minimum guarantee," ULB Institutional Repository 2013/7598, ULB -- Universite Libre de Bruxelles.
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Citations

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Cited by:
  1. Frehen, Rik G.P. & Hoevenaars, Roy P.M.M. & Palm, Franz C. & Schotman, Peter C., 2008. "Regret aversion and annuity risk in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1050-1061, June.
  2. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
  3. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, Università Ca' Foscari Venezia.

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