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Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans

Author

Listed:
  • Sundaresan, S
  • Zapatero, F

Abstract

We provide a framework in which we link the valuation and asset allocation policies of defined benefits plans with the lifetime marginal productivity schedule of the worker and the pension plan formula. In turn, we examine the retirement policies that are implied by the primitives of the model and the value of pension obligations.

Suggested Citation

  • Sundaresan, S & Zapatero, F, 1996. "Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans," Papers 96-18, Columbia - Graduate School of Business.
    • Handle: RePEc:fth:colubu:96-18
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    More about this item

    Keywords

    RETIREMENT ; PENSION SCHEMES ; OLD AGE BENEFITS;
    All these keywords.

    JEL classification:

    • J26 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Retirement; Retirement Policies
    • H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions

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