Paying for Minimum Interest Rate Guarantees: Who Should Compensate Who?
量化了固定缴费养老金计划中强制最低利率担保对个人投资组合选择的约束，并证明该担保可能导致显著的效用损失，同时考虑了异质投资者共享投资组合的情况。
Defined contribution pension schemes often have a mandatory minimum interest rate guarantee as an integrated part of the contract. The guarantee is an embedded put option issued by the institution to the individual who is forced to invest in the option. As argued in this paper, the individual may in this way face a constraint on the feasible set of portfolio choices. We quantify the effect of the minimum interest rate guarantee constraint and demonstrate that guarantees may induce a significant utility loss. We also consider the effects of the interest rate guarantee in the case of heterogenous investors sharing a common portfolio on a pro rata basis.