Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2014
Volume: 38
Issue: C
Pages: 105-124

Authors (3)

Blake, David (City University) Wright, Douglas (not in RePEc) Zhang, Yumeng (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A defined contribution pension plan allows consumption to be redistributed from the plan member's working life to retirement in a manner that is consistent with the member's personal preferences. The plan's optimal funding and investment strategies therefore depend on the desired profile of consumption over the lifetime of the member. We investigate these strategies under the assumption that the member is a rational life cycle financial planner and has an Epstein–Zin utility function, which allows a separation between risk aversion and the elasticity of intertemporal substitution. We also take into account the member's human capital during the accumulation phase of the plan and we allow the annuitisation decision to be endogenously determined during the decumulation phase.

Technical Details

RePEc Handle
repec:eee:dyncon:v:38:y:2014:i:c:p:105-124
Journal Field
Macro
Author Count
3
Added to Database
2026-01-24