Utility Evaluation of Risk in Retirement Saving Accounts退休储蓄账户风险效用评估.pptVIP

Reducing Social Security PRA Risk at the Individual Level — Lifecycle Funds No-Loss Strategies Motivation Lifecycle funds charge investors to rebalance away from stocks and towards bonds as retirement draws near Rapid growth of lifecycle funds in recent years Could these products mitigate risk in a Social Security system with private investment accounts (PRA)? Simulations based on PRVW (2005) examine expected utility of wealth at retirement under different PRA asset allocation rules Particular attention to lifecycle funds versus age-invariant strategies Preview of Results Expected utility associated with different asset allocation strategies depends on: the expected return on corporate stock the relative risk aversion of the investing household the amount of non-PRA household wealth expenses associated with given strategy Usually a fixed-proportions portfolio of stocks TIPS yields expected utility at retirement at least as high as that from lifecycle strategies Variation in expense ratios can be as important as variation in asset allocation for determining expected utility Market for Target-Year Lifecycle Funds Asset Allocation in Target-Year Lifecycle Funds by Retirement Year Simulating DC Account Balances: Related Literature Empirical Literature PRVW (2005), Schrager (2006), Samwick and Skinner (2004), Shiller (2005) Theoretical Literature Merton (1969), Samuelson (1969), Bodie, Merton and Samuelson (1988), Gollier (2001), Gollier and Zeckhauser (2002) Campbell and Viceira (2002), Cocco, Gomes and Maenhout (2005) Simulation Model 401(k) Accumulation Profile for a Given Household (i) Simulation Technique Evaluate household utility at retirement using a standard constant relative risk aversion utility function  Find certainty equivalents accounting for the fact that households have non-PRA wealth, given by non-pension annuities and other financial wealth Asset Allocation Strategies 100% TIPS 100% Government Bonds 100% Large Cap Corporate Equity (110 - Age