Optimal life cycle investment with pay-as-you-go pension schemes: a portfolio approach
AbstractIn this paper we show how pay-as-you-go pension schemes impact on the individual.s optimal investment portfolio. Introducing a pay-as-you-go pension scheme implies that human wealth of young generations is transferred to retired generations. As a consequence, individuals will in general invest less conservatively. These portfolio effects gradually disappear at the end of life.
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Bibliographic InfoPaper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 168.
Date of creation: Feb 2008
Date of revision:
Social security; Risk sharing; Portfolio choice;
Find related papers by JEL classification:
- H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
- D91 - Microeconomics - - Intertemporal Choice - - - Intertemporal Household Choice; Life Cycle Models and Saving
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-23 (All new papers)
- NEP-IAS-2008-02-23 (Insurance Economics)
- NEP-PUB-2008-02-23 (Public Finance)
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