Essays On Portfolio Choice And Social Security
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Essays On Portfolio Choice And Social Security
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Author : Pablo Castaneda
language : en
Publisher:
Release Date : 2009
Essays On Portfolio Choice And Social Security written by Pablo Castaneda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Abstract: Social security represents a fertile territory to be explored with the tools of modern finance, as social security systems in general affect the savings decisions of individuals in non trivial ways. This dissertation studies three issues of social security using the tools of continuous-time finance. All these issues are heavily motivated by the Chilean experience in the design of unemployment insurance and pension systems based on individual accounts. The first chapter deals with the incentives embedded in the compensation scheme of a risk averse portfolio manager. The interest in this case is placed on how the compensation scheme changes the investment decisions of the portfolio manager. Using a compensation scheme based on a benchmark portfolio to define the penalties and bonuses of the scheme, it is shown that the scheme motivates the portfolio manager to imitate the investment strategy of the benchmark portfolio whenever this helps the manager to either obtain a bonus or avoid a penalty. The second chapter focuses on the optimal design of benchmark portfolios. The analysis is carried out in the context of a classical Merton type portfolio choice problem. In particular, two related portfolio choice problems are studied, one dealing with the concerns of a representative worker (e.g., unemployment risk), and a second one dealing with the concerns of the portfolio manager in charge of a solidarity fund that finances the payment of a top-up monetary benefit to workers. The results suggest that the benchmark portfolio of the solidarity fund should take into account the optimal investment strategy of the representative worker's problem as the latter represents the funded portion of the liabilities of the former. The third and final chapter focuses on the long term assessment of the financial risk in a defined contribution pension system. In particular, it analyzes a case in which the competitive incentives dissociate the investment objectives of the portfolio manager from those of the pension fund member. The results suggest that the common association between risk and stock volatility may be misleading.
Essays In Optimal Consumption And Portfolio Choice
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Author : Jialun Li
language : en
Publisher:
Release Date : 2012
Essays In Optimal Consumption And Portfolio Choice written by Jialun Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Three Essays On Household Portfolio Choice
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Author : Tae-Young Pak
language : en
Publisher:
Release Date : 2016
Three Essays On Household Portfolio Choice written by Tae-Young Pak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This dissertation considers household portfolio choice at the end of life-cycle. Three essays examine the importance of uncertainty about medical expenditure risk, cognitive aging, and subjective life horizon, and their role in explaining late-life savings decisions and portfolio allocation. Chapter 2 of the dissertation, entitled "Medical expenditure risk and precautionary saving: Evidence from Medicare Part D", tests the presence of precautionary saving motive to cope with medical expenditure risk. By examining Medicare Part D and it's association with household saving, I demonstrate that social insurance programs discourage private saving by reducing health-related uncertainty. Chapter 3 of the dissertation, entitled "Econometric analysis of cognitive abilities and portfolio choice", explores the role of cognitive aging in explaining a portfolio rebalancing towards safer assets at the end of life-cycle. In this essay, I argue that a gradual decrease in risky asset ownership at the end of life-cycle is in part driven by losing cognitive capabilities. I pay particular attention to testing whether such association is observed only on the extensive margin - that is, changes in ownership, or both risky asset ownership and reallocation across the intensive margin are affected. Causality is tested by exploiting exogenous variation in cognitive health, created by the introduction of Medicare Part D in 2006. Chapter 4 of the dissertation, entitled "Subjective life expectancy and portfolio choice: A household bargaining approach", examines collective decision-making when spouses have an incentive to bargain over portfolio allocation. This article starts with two well-known facts: (a) difference in life expectancy between husband and wife; and (b) age disparity in marriage. These two facts imply that females, on average, face 5 or 6 years longer retirement period to finance, and thus have more incentive to hold risky assets to achieve higher expected capital gains in the long-term. A difference in life expectancy then creates an incentive to bargain over how to allocate savings to risky and non-risky assets. The estimation results indeed show that more financial wealth is allocated to risky assets when a spouse with longer life expectancy has the "final say."
Essays On Consumption Insurance And Portfolio Choice Over The Life Cycle
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Author : Lorenz S. Schendel
language : en
Publisher:
Release Date : 2014
Essays On Consumption Insurance And Portfolio Choice Over The Life Cycle written by Lorenz S. Schendel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Designing Social Security
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Author : Egil Matsen
language : en
Publisher:
Release Date : 2001
Designing Social Security written by Egil Matsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Retirement Planning
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Author : Karl Erlandzon
language : en
Publisher:
Release Date : 2008
Retirement Planning written by Karl Erlandzon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Portfolio management categories.
Essays On Target Date Funds As A Retirement Portfolio Choice
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Author : Helen Saar
language : en
Publisher:
Release Date : 2012
Essays On Target Date Funds As A Retirement Portfolio Choice written by Helen Saar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Portfolio Choice And Menu Exposure
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Author : Massimo Massa
language : en
Publisher:
Release Date : 2006
Portfolio Choice And Menu Exposure written by Massimo Massa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
We study the impact of menu representation on portfolio choice and we show that investors choose assets as a function of the way they are represented in the menu available to them. We use the choices of mutual funds for retirement accounts of the Swedish population. We show that investors prefer the funds that belong to categories that are more represented in the menu. More numerous categories attract more investment than what portfolio theory would suggest. Moreover, an exogenous change in the menu changes investor demand. An increase in the representation of a category in the menu increases investment in the funds belonging to the same category, including the already existing ones. By using information on the performance of the funds that investors choose and the degree of concentration of the investor portfolio, we show that there is a consistent positive correlation between the investor's sensitivity to menu exposure and his degree of informativeness. This suggests that menu exposure represents a rational way of coping with limited (private) information that decreases as information improves. Our findings shed light on the home bias puzzle and insight on the determinants of style investing. They also have direct normative implications in terms of Social Security reform.
Optimal Portfolio Choice With Wage Indexed Social Security
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Author : Jialun Li
language : en
Publisher:
Release Date : 2011
Optimal Portfolio Choice With Wage Indexed Social Security written by Jialun Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Portfolio management categories.
Abstract: This paper re-examines the classic question of how a household should optimally allocate its portfolio between risky stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits fundamentally alters the optimal decisions. Moreover, the optimal allocation is close to observed empirical behavior. Households, therefore, do not appear to be making large "mistakes, " as sometimes believed. In fact, traditional financial planning advice, as embedded in "target date" funds â?? whose enormous recent growth has been encouraged by new government policy â?? often leads to even relatively larger "mistakes" and welfare losses.
Three Essays On Consumption Portfolio Choice And Retirement Accounts
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Author : Pu Li
language : en
Publisher:
Release Date : 2014
Three Essays On Consumption Portfolio Choice And Retirement Accounts written by Pu Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Consumption (Economics) categories.