Stock ownership decisions in DC pension plans

Julian Douglass; Owen Wu; William T. Ziemba

edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s):	Julian Douglass, University of British Columbia, Vancouver Owen Wu, University of British Columbia, Vancouver William T. Ziemba, University of British Columbia, Vancouver
Title:	Stock ownership decisions in DC pension plans
Date of Acceptance:	30.09.2003
Submission Date:	27.07.2003
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10059182)
Keywords (eng):	stochastic programming, Asset allocation, Defined contribution pension plans
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.	Endnote Bibtex
print on demand: If you click on this icon you can order a print copy of this publication.
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.

Abstract (eng):

This paper considers the risk of employee pension accounts when there is a large weighting in company stock. The effect of reduced diversification and job related risk are considered. Mean-variance and scenario-based stochastic programming models are used for analysis. The stochastic porgramming formulation allows for fat tailed return distributions. Company stock is only optimal for employees with very low risk aversion or with very high return expectations for company stock. These conclusions are further strengthened when the possibility of job loss associated with poor company stock performance is included in the model. High observed weightings in company stock in DC pension plans are not explained by rational one-period models. Employees are bearing high levels of risk that is not rewarded, and that can lead to disastrous consequences.

Access Statistics:

These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.

As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.

To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.

May
11

Jul
11

Aug
11

Sep
11

Oct
11

Nov
11

Dec
11

Feb
12

Apr
12

May
12

Jun
12

Jul
12

Aug
12

Sep
12

Oct
12

Nov
12

Dec
12

Jan
13

Apr
13

Monat	May 11	Jul 11	Aug 11	Sep 11	Oct 11	Nov 11	Dec 11	Feb 12	Apr 12	May 12	Jun 12	Jul 12	Aug 12	Sep 12	Oct 12	Nov 12	Dec 12	Jan 13	Apr 13
Startseite				1	1			2	1	1	1		2	4	1			2	1
PDF	5	1	2	1	1	2	3	1	2	3	2	2	3	2	2	6	19	21	20

Gesamtzahl der Zugriffe seit May 2011:

Startseite – 17 (1.06 pro Monat)
PDF – 98 (5.16 pro Monat)

Generated at 21.05.2013, 17:18:37

edoc-Server der Humboldt-Universität zu Berlin • Impressum • edoc@cms.hu-berlin.de • Nutzungsbedingungen • Haftungsausschluss • Statistik