Risk, Return and Portfolio Allocation Under Alternative Pension Systems with Incomplete and Imperfect Financial Markets
通过校准模型的随机模拟，评估金融市场不完美时不同养老金改革策略的影响，计算不同代际代理人在多种政策情景下的预期福利，并估计最优的现收现付养老金水平如何取决于回报率、收入风险和偏好。
This article uses stochastic simulations on a calibrated model to assess the impact of different pension reform strategies where financial markets are less than perfect. We investigate the optimal split between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different types of pension system when there are imperfections in financial markets. This article calculates the expected welfare of agents of different cohorts under various policy scenarios. We estimate how the optimal level of unfunded, state pensions depends on rate of return and income risks and also upon preferences. Copyright 2006 Royal Economic Society.