Pakistan’s pension system is in the process of increasing funding in anticipation of providing for a growing elderly population. The pension assets are mainly invested domestically, as it was just in January 2007 that regulations changed to allow the purchase of international assets. In this...

Pension reforms are on the political agenda of many countries. Such reforms imply an increasing responsibility on individuals’ side in building an efficient portfolio for retirement. In this paper we provide a model describing workers’ choices on the allocation of retirement savings in...

This study compares the performance of various fixed and lifecycle portfolio strategies for the accumulation phase of retirement planning in emerging market countries. With an expected utility framework and a bootstrapped Monte Carlo procedure, we find that the majority of emerging market...

In recent years, investment portfolio selection is growing in importance for many emerging market pension funds, as pension reforms replace traditional pay-as-you-go systems with advanced funding systems. Various investment regulations are applied to the funded pensions, particularly in the form...

Pension systems often entail some compulsory saving over which individuals have some degree of choice in terms of the pension plan in which to invest. Our contribution analyses whether the choice between alternative plans is affected by the presence of liquidity constraints during working life....

This paper provides an empirical analysis of the impact of the financial crisis on households’ saving decisions in private pension schemes. We base our study on an original dataset made up of three sample surveys collected in 2008, in 2012 and in 2015 by Mefop. Each survey has been conducted...

This paper presents a forward looking model for selection of hedge fund investment strategies. Given excess skewness observed in hedge funds’ return distributions, we assume that the historical return distribution is a skewed student t distribution. We implement a Bayesian framework to derive...

In this paper, we analyze the effect of a pension system on the life expectancy and the lifetime utility level using a cross country data and an optimal dynamic problem of individuals who live in continuous and finite time. From the data, we find that 1) Happiness can be almost explained by...

In this paper, we analyze the effect of a pension system on the life expectancy and the lifetime utility level using an optimal dynamic problem of individuals who live in continuous and finite time. Our model yields a number of intriguing results: 1) Life expectancy is not always proportional to...