On the Asset Allocation of a Default Pension Fund
利用个人在养老金系统内外的详细数据，刻画投资者异质性，构建生命周期模型，发现最优默认资产配置相比常见年龄基准带来1.5%的退休福利提升，且大部分增益可通过简单经验法则实现。
ABSTRACT We characterize the optimal default fund in a defined contribution (DC) pension plan. Using detailed data on individuals' holdings inside and outside the pension system, we find substantial heterogeneity within and between passive and active investors in terms of labor income, financial wealth, and stock market participation. We build a life‐cycle consumption‐savings model, with a DC pension account and an opt‐out/default choice, that produces realistic investor heterogeneity. Relative to a common age‐based allocation, implementing the optimal default asset allocation implies a welfare gain of 1.5% during retirement. Much of the gain is attainable with a simple rule of thumb.