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2003-09-30Buch DOI: 10.18452/8302
Stock ownership decisions in DC pension plans
dc.contributor.authorDouglass, Julian
dc.contributor.authorWu, Owen
dc.contributor.authorZiemba, William T.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:54:23Z
dc.date.available2017-06-16T19:54:23Z
dc.date.created2006-03-01
dc.date.issued2003-09-30
dc.date.submitted2003-07-27
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8954
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic programmingeng
dc.subjectAsset allocationeng
dc.subjectDefined contribution pension planseng
dc.subject.ddc510 Mathematik
dc.titleStock ownership decisions in DC pension plans
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059182
dc.identifier.doihttp://dx.doi.org/10.18452/8302
local.edoc.pages16
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
dc.identifier.zdb2936317-2
bua.series.nameStochastic Programming E-Print Series
bua.series.issuenumber2003,20

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