Blake, David and Cairns, Andrew and Dowd, Kevin (2008): Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers.
Download (628kB) | Preview
Many, if not most, individuals cannot be regarded as ‘intelligent consumers’ when it comes to understanding and assessing different investment strategies for their defined contribution pension plans. This gives very little incentive to plan providers to improve the design of their pension plans. As a consequence, pension plans and their investment strategies are still currently in a very primitive stage of their development. In particular, there is very little integration between the accumulation and decumulation stages. It is possible to produce well-designed DC plans but these need to be designed from back to front (that is, from desired outputs to required inputs) with the goal of delivering an adequate targeted pension with a high degree of probability. We use the analogy of designing a commercial aircraft to explain how this might be done. We also investigate the possible role of regulators in acting as surrogate ‘intelligent consumers’ on behalf of plan members.
|Item Type:||MPRA Paper|
|Original Title:||Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers|
|Keywords:||Pension plans; Defined contribution; Investment strategy|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G23 - Non-bank Financial Institutions ; Financial Instruments ; Institutional Investors
D - Microeconomics > D9 - Intertemporal Choice > D91 - Intertemporal Household Choice ; Life Cycle Models and Saving
|Depositing User:||David Blake|
|Date Deposited:||10. Nov 2011 15:33|
|Last Modified:||19. Feb 2013 06:51|
Abel, A., and Warshawsky, M. (1988) Specification and the Joy of Giving: Insights from Altruism, Review of Economics and Statistics, 70, 145-49.
Ando, A., And Modigliani, F. (1963) The Life Cycle Hypothesis of Saving: Aggregate Implications and Tests, American Economic Review, 53, 55-84.
Arrow, K., and Lind, R. (1970) Uncertainty and the Evaluation of Public Investment Decisions, American Economic Review, 60, 364-378.
Balvers, R., Wu, Y., and Gilliand, E. (2000) Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies, Journal of Finance, 55, 745-772.
Banks, J., Blundell, R, and Tanner, S (1998) Is There a Retirement-Savings Puzzle? American Economic Review, 88, 769-788.
Barber, B, and Odean, T (2001) Boys will be Boys: Overconfidence and Common Stock Investment, Quarterly Journal of Economics, 116, 261-292.
Barberis, N. (2000) Investing for the Long-run when Returns are Predictable, Journal of Finance, 55, 225-64.
Barberis, N, and Huang, M (2001) Mental Accounting, Loss Aversion, and Individual Stock Returns, Journal of Finance, 56, 1247-1292.
Barro, R. J., (2005) Rare Events and the Equity Premium, Harvard University, July.
Benartzi, S (2001) Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock, Journal of Finance, 56, 1747-1764.
Benartzi, S, and Thaler, R (1995), Myopic Loss Aversion and the Equity Premium Puzzle, Quarterly Journal of Economics, 110, 73-92.
Benartzi, S, and Thaler, R (2001), Naive Diversification Strategies in Retirement Saving Plans, American Economic Review, 91, 79-98.
Benartzi, S, and Thaler, R (2002) How Much Is Investor Autonomy Worth?, Journal of Finance, 57, 1593-1616.
Bernheim, B., D. (1991) How Strong are Bequest Motives? Evidence based on Estimates of the Demand for Life Insurance and Annuities, Journal of Political Economics, 99, 899-927.
Bernheim, B. D., Shleifer, A., and Summers, L. (1985) The Strategic Bequest Motive, Journal of Political Economy, 93, 1045-76.
Bernheim, B. D, Skinner, J, and Weinberg, S (2001) What Accounts for the Variation in Retirement Wealth among U.S. Households?, American Economic Review 91, 832-857.
Bernstein, P. (1992) Capital Ideas, Free Press, New York.
Blake, D. (1996) Efficiency, Risk Aversion and Portfolio Insurance: An Analysis of Financial Asset Portfolios held by Investors in the United Kingdom, Economic Journal, 106, 1175-1192.
Blake, D. (2006) Pension Economics, Wiley, Chichester.
Blake, D., and Burrows, W. (2001), Survivor Bonds: Helping to Hedge Mortality Risk, Journal of Risk and Insurance, 681, 339-348.
Blake, D., Cairns, A.J.G, and Dowd, K. (2001) Pensionmetrics: Stochastic Pension Plan Design and Value-at-Risk during the Accumulation Phase, Insurance: Mathematics & Economics, 29, 187-215.
Blake, D., Cairns, A.J.G, and Dowd, K. (2003) PensionMetrics 2: Stochastic Pension Plan Design during the Distribution Phase, Insurance: Mathematics & Economics, 33, 29-47.
Blake, D., Cairns, A.J.G, and Dowd, K. (2006) Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities, British Actuarial Journal, 12, 153-197.
Blake, D., Cairns, A.J.G, and Dowd, K. (2007) The Impact of Occupation and Gender on the Pensions from Defined Contribution Plans, Geneva Papers on Risk & Insurance, 32, 458-82.
Blake, D., Cairns, A.J.G, and Dowd, K. (2008a) Longevity Risk and the Grimm Reaper’s Toxic Tail: The Survivor Fan Charts, Insurance: Mathematics & Economics, forthcoming.
Blake, D., Lehmann, B., and Timmermann, A. (1999) Asset Allocation Dynamics and Pension Fund Performance, Journal of Business, 72, 429-62.
Blake, D., Lehmann, B., and Timmermann, A. (2002) Performance Clustering and Incentives in the UK Pension Fund Industry, Journal of Asset Management, 3, 2002, 173-194.
Blake, D. and Timmermann, A. (2005) Returns from Active Management in International Equity Markets: Evidence from a Panel of UK Pension Funds, Journal of Asset Management, 6, 5-20.
Blake, D., Wright, D., and Zhang, Y. (2008b) Optimal Funding and Investment Strategies in Defined Contribution Pension Plans with Epstein-Zin Utility, Pensions Institute Discussion Paper.
Bodie, Z (1990) Pensions as Retirement Income Insurance, Journal of Economic Literature, 28, 28-49.
Bodie, Z. (1995) On the Risk of Stocks in the Long Run, Financial Analysts Journal, 51, 18-22.
Bodie, Z., Merton, R., Samuelson, W. (1992) Labour Supply Flexibility and Portfolio Choice in a Lifecycle Model, Journal of Economic Dynamics and Control, 16, 427-49.
Bodie, Z., and Treussard, J. (2007) Making Investment Choices as Simple as Possible: An Analysis of Target Date Retirement Funds, Financial Analysts Journal, 63, 3, May-June.
Boeing Commercial Airlines (2006) Statistical Summary of Commercial Jet Airplane Accidents: Worldwide Operations 1959-2005, Aviation Safety, Boeing Commercial Airlines, Seattle, Washington.
Brinson, G.P., Hood, L.R., and Beebower, G.L. (1986) Determinants of Portfolio Performance, Financial Analysts Journal, July-August, 39-48.
Brinson, G., Singer, B., and Beebower, G. (1991) Determinants of Portfolio Performance II: An Update, Financial Analysts Journal, May-June, 40-48.
Brown, S.J., and Goetzmann, W. (1995) Performance Persistence, Journal of Finance 50, 679-98.
Brown, S., Goetzmann, W., and Ross, S. (1995) Survival, Journal of Finance, 50, 853-873.
Brown, J., Mitchell, O., and Poterba, J. (2000a) The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program, in John Y. Campbell and Martin Feldstein (eds) Risk Aspects of Investment-Based Social Security Reform, NBER, University of Chicago Press, 321-360.
Brown, J. and Poterba, J. (2000b) Joint Life Annuities and Annuity Demand by Married Couples, Journal of Risk and Insurance, 67, 527-554.
Brugiavini, A. (1993) Uncertainty Resolution and the Timing of Annuity Purchases, Journal of Public Economics, 50, 31-62.
Byrne, A., Harrison, D., and Blake, D. (2007) Dealing with the Reluctant Investor: Innovation and Governance in DC Pension Investment, Pensions Institute Report, London, April.
Cairns, A.J.G, Blake, D., and Dowd, K. (2006a) Stochastic Lifestyling: Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans, Journal of Economic Dynamics & Control, 30, 843-877.
Cairns, A.J.G., Blake, D, and Dowd, K. (2006b) A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Journal of Risk and Insurance, 73, 687-718.
Campbell, J., and Viceira, L (1999) Consumption and Portfolio Decisions when Expected Returns are Time-varying, Quarterly Journal of Economics, 114, 433-95.
Campbell, J., and Viceira, L. (2002) Strategic Asset Allocation: Portfolio Choice for Long-term Investors, Oxford University Press, Oxford.
CAPS (various) General Reports, Combined Actuarial Performance Services, Leeds.
Carhart, M. (1997) On Persistence in Mutual Fund Performance, Journal of Finance, 52, 57-82.
Chacko, G., and Viceira, L. (2005) Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets, Review of Financial Studies, 18, 1369-1402.
Choi, J., Laibson, D., Madrian, B., and Metrick, A. (2001), For Better or For Worse: Default Effects and 401(k) Savings Behavior, NBER Working Paper 8651.
Choi, J., Laibson, D., Madrian, B., and Metrick, A. (2004) Employee Investment Decisions about Company Stock, in Mitchell, O., and Utkus, S. (2004a).
Cocco, J. (2005) Portfolio Choice in the Presence of Housing, Review of Financial Studies, 18, 535-567.
Constantinides, G. (1990) Habit Formation: A Resolution of the Equity Premium Puzzle, Journal of Political Economy, 98, 519-43.
Constantinides, G., Donaldson, J., and Mehra, R. (2002) Junior Can’t Borrow: A New Perspective on the Equity Premium Puzzle, Quarterly Journal of Economics, 117, 269-296.
Coughlan, G., Epstein, D., Sinha, A. and Honig, P. (2007) q-Forwards: Derivatives for Transferring Longevity and Mortality Risks, JPMorgan Pension Advisory Group, London, July.
Davidoff, T., Brown, J., and Diamond, P. (2005) Annuities and Individual Welfare, American Economic Review, 95, 1573-90.
De Bondt, W. (1998) A Portrait of the Individual Investor, European Economic Review, 42, 831-844.
De Nardi, M., French, E., and Jones, J. B. (2006) Differential Mortality, Uncertain Medical Expenses, and the Savings of Elderly Singles, NBER Working Paper 12554, October.
Dimson, E., Marsh, P. and Staunton, M. (2002) Triumph of the Optimists: 101 Years of Global Investing Returns, Princeton University Press: New Jersey.
Dowd, K. (2003) Survivor Bonds: A Comment on Blake & Burrows, Journal of Risk and Insurance, 70, 349-351.
Drinkwater, M, and Sondergeld, E (2004) Perceptions of Mortality Risk: Implications for Annuities, in Mitchell, O., and Utkus, S. (2004a).
Dus, I, Maurer, R, Mitchell, O (2004) Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans, Pension Research Council Working Paper 2004-1.
Fama, E., and French, K. (1988) Permanent and Temporary Components of Stock Prices, Journal of Political Economy, 96, 246-73.
Fama, E., and French, K. (2002) The Equity Premium, Journal of Finance, 57, 637-659.
Faugère, C., and Van Erlach, J. (2006), The Equity Premium: Consistent with GDP Growth and Portfolio Insurance, The Financial Review, 41, 547-564.
Financial Literacy and Education Commission (2006) Taking Ownership of the Future: The National Strategy for Financial Literacy 2006, US Department of the Treasury, Washington DC.
Finkelstein, A., and Poterba, J. (2002) Selection Effects in the United Kingdom Annuities Market, Economic Journal, 112, 28-50.
Fisher, I. (1930) The Theory of Interest, Macmillan, New York.
Frank, R., and Hutchens, R., 1993, Wages, Seniority and the Demand for Rising Consumption Sequences, Journal of Economic Behavior and Organization, 21: 251-276.
French, K., Schwert, G., and Stambaugh, R. (1987) Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.
Ghysels, E., Harvey, A. C., and Renault, E. (1996) Stochastic Volatility, chapter 14 in Maddala, G., and Rao, C. (eds), Handbook of Statistics, Vol. 14, North-Holland, Amsterdam.
Gneezy, U, and Potters, J (1997) An Experiment on Risk Taking and Evaluation Periods, Quarterly Journal of Economics, 112, 631-645.
Goetzmann, W, and Kumar, A (2001) Equity Portfolio Diversification, NBER Working Paper 8686.
Gollier, C. (2004), Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability, Contributions to Theoretical Economics, 4:1, Article 4, 1-33.
Gomes, F., and Michaelides, A. (2005) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence, Journal of Finance, 60, 869-904.
Grinblatt, M., and Titman, S. (1992), The Persistence of Mutual Fund Performance, Journal of Finance, 47, 1997-84.
H M Treasury (2006) The Annuities Market 2006, H M Treasury, London.
Haberman, S., and Sung, J-H. (1994), Dynamic Approaches to Pension Funding, Insurance: Mathematics & Economics, 15, 151-62.
Heaton, J., and Lucas, D. (2000) Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk, Journal of Finance, 55, 1163-1198.
Hendricks, D., Patel, J., and Zeckhauser, R. (1993), Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, Journal of Finance 48, 93-130.
Horneff, W., Maurer, R., and Stamos, M. (2006a) Life-cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal? Working Paper WP2006-146, Michigan Retirement Research Centre, December.
Horneff, W., Maurer, R., and Stamos, M. (2006b) Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities, Working Paper, Goethe University, Frankfurt, April.
Horneff, W., Maurer, R., Mitchell, O., and Stamos, M. (2007) Money in Motion: Dynamic Portflio Choice in Retirement, National Bureau of Economic Research Working Paper 12942, February.
Howie, R., and Davies, H. (2002) Setting Investment Strategy for the Long Term: A Closer look at Defined Contribution Investment Strategy, Faculty and Institute of Actuaries, Finance and Investment Conference 2002, http://www.actuaries.org.uk/files/pdf/library/proceedings/fin_inv/2002/Howie.pdf.
Huberman, G and Sengmueller, P (2003) Company Stock in 401(k) Plans, Columbia University Working Paper.
Huberman, G and Jiang, W. (2006) Offering versus Choice in 401(k) Plans: Equity Exposure and Number of Funds, Journal of Finance, 61, 763-801.
Hurd, M. (1989) Mortality Risk and Bequests, Econometrica, 57, 779-813.
Impavido, G., Thorburn, C., Wadsworth, M. (2004) A Conceptual Framework for Retirement Products: Risk Sharing Arrangements between Providers and Retirees, World Bank Policy Research Working Paper 3208, February.
Ironfield-Smith C., Duxbury D., Hudson R., Keasey K. and Summers, B. (2005) Informed Choice for Pensions: Overcoming the Data Integration Challenge, Journal of Financial Regulation and Compliance, 13, 260-267.
Jagannathan, R., McGrattan E. R. and Scherbina, A. (2000) The declining U.S. equity premium, Federal Reserve Bank of Minneapolis Quarterly Review 24, 3–19.
Jegadeesh, N., and Titman, S. (1993), Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 48, 65-91.
Jorion, P., and Goetzmann, W. (1999) Global Stock Markets in the Twentieth Century, Journal of Finance, 54, 953-80.
Kahneman, D (2003) The Psychology of Risky Choices, Address before the Investment Company Institute, May 2003, Washington DC.
Kahneman, D and Tversky, A (1979) Prospect Theory: An Analysis of Decision Under Risk, Econometrica, 47, 263-91.
Kahneman, D and Tversky, A (1984) Choices, Values and Frames, American Psychologist, 39, 341-50.
Kahneman, D and Tversky, A (2000), Choices, Values and Frames, Russell Sage Foundation and Cambridge University Press, Cambridge, MA.
Keasey, K., Summers, B., Duxbury, D., and Hudson, R. (2006) Angst about Annuities? An Exploration of Individuals’ Evaluations of Annuities, Leeds University business School Working Paper.
Kim, M. J., Nelson, C. R., and Startz, R. (1991) Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence, Review of Economic Studies, Special Issue: The Econometrics of Financial Markets, 58, 515-528.
Kogan, L., Makarov, I., and Uppal, R. (2003), The Equity Risk Premium and the Riskfree Rate in an Economy with Borrowing Constraints, mimeo, MIT and LBS, September.
Koijen, R., Nijman, T., and Werker, B. (2006) Dynamic Asset Allocation and Annuity Risk, Working Paper, Tilburg University, April.
Kosowski, R., Timmermann, A., Wermers, R., and White, H. (2006) Can Mutual Fund ‘Stars’ Really Pick Stocks? New Evidence from a Bootstrap Analysis, Journal of Finance, 61, 2551-95.
Kotlikoff, L., and Spivak, A. (1981) The Family as an Incomplete Annuities Market, Journal of Political Economy, 89, 373-91.
Kotlikoff, L., and Summers, L. (1981) The Role of Intergenerational Transfers in Aggregate Capital Accumulation, Journal of Political Economy, 89, 706-732.
Kurz, M. and Beltratti , A. (2006) The Equity Premium is No Puzzle, Stanford University Dept. of Economics WP# 96-004, February.
Laibson, D. (1997) Golden Eggs and Hyperbolic Discounting, Quarterly Journal of Economics, 112, 443-478.
Laibson, D., Repetto, A., and Tobacman, J. (1998), Self Control and Saving for Retirement, Brookings Papers on Economic Activity I, 91-196.
Lakonishok, J., Shleifer, A., and Vishny, R., (1992), The Structure and Performance of the Money Management Industry, Brookings Papers: Microeconomics, 339-91.
Langer, T., and Weber, M. (2004), Does Commitment or Feedback Influence Myopic Loss Aversion? An Experimental Analysis, University of Mannheim Discussion Paper. Lunde, A., Timmermann, A., and Blake, D. (1999), The Hazards of Mutual Fund Underperformance, Journal of Empirical Finance, 6, 121-52.
Madrian, B, and Shea, D (2001) The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior, Quarterly Journal of Economics, 116, 1149-1187.
Matsumo D., Peecher, M. E., and Rich, J. S., 2000, Evaluations of Outcome Sequences, Organizational Behavior and Human Decision Processes, 83: 331-352.
McGill, D., Brown, K., Haley, J., and Schieber, S. (2005) Fundamentals of Private Pensions, 8ed, Oxford University Press, Oxford.
Mehra, R. and Prescott, E. C. (1985) The Equity Premium: A Puzzle, Journal of Monetary Economics, 15, 145-161.
Merton, R.C. (1969) Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case, Review of Economics and Statistics, 51, 247-57.
Merton, R.C. (1971) Optimum Consumption and Portfolio Rules in a Continuous Time Model, Journal of Economic Theory, 3, 373-413.
Merton, R.C. (1973) An Intertemporal Capital Asset Pricing Model, Econometrica, 41, 867-87.
Milevsky, M. (1998) Optimal asset allocation towards the end of the life cycle: To annuitise or not to annuitise? Journal of Risk and Insurance, 65, 401-26.
Milevsky, M., and Young, V. (2002) Optimal Asset Allocation and the Real Option to Delay Annuitisation: It’s Not Now or Never, Working Paper, Schulich School of Business, York University, April.
Milevsky, M., and Young, V. (2006) Annuitisation and Asset Allocation, Journal of Economic Dynamics and Control, forthcoming.
Mitchell, O., Moore, J., and Phillips, J. (2000), Explaining Retirement Saving Shortfalls, in Mitchell, O. S., Hammond, B., Rappaport, A. (eds) Forecasting Retirement Needs and Retirement Wealth, University of Pennsylvania Press, Philadelphia, PA, 139-166.
Mitchell, O., Poterba, J., Warshawsky, M., and Brown, J. (1999) New Evidence on The Money’s Worth of Individuals, American Economic Review, 89, 1299-1318.
Mitchell, O, and Utkus, S (2003) Company Stock and Retirement Plan Diversification, in Olivia S. Mitchell and Kent Smetters (eds) The Pension Challenge: Risk Transfers and Retirement Income Security, Oxford University Press, Oxford.
Mitchell, O, and Utkus, S (eds) (2004a) Pension Design and Structure: New Lessons from Behavioural Finance, Oxford University Press, Oxford.
Mitchell, O, and Utkus, S (2004b), Lessons from Behavioural Finance for Retirement Plan Design, in Mitchell, O, and Utkus, S (2004a ).
Moore, J and Mitchell, O (2000) Projected Retirement Wealth and Saving Adequacy, in Mitchell, O. S., Hammond, B., Rappaport, A. (eds) Forecasting Retirement Needs and Retirement Wealth, University of Pennsylvania Press, Philadelphia, PA, 68-94.
Mullainathan, S and Thaler, R (2000) Behavioral Economics, NBER Working Paper 7948.
O’Brien, C., Fenn, P., and Diacon, S. (2005) How long do people expect to live? Results and implications, Centre for Risk and Insurance Studies, Nottingham University Business School, CRIS Research report 2005-1, April.
OECD (2005) Improving Financial Literacy: Principle, Programmes, Good Practices, Organisation for Economic Co-operation and Development, Paris.
Odean, T (1998) Are Investors Reluctant to Realize Their Losses?, Journal of Finance, 53, 1775-1798.
Office of Fair Trading (1997), Consumer Detriment under Conditions of Imperfect Information, Research Paper 11, London.
Office of Fair Trading (1999), Vulnerable Consumers and Financial Services, Report 255, London.
Panis, S (2004) Annuities and Retirement Satisfaction, in Mitchell, O, and Utkus, S (2004a).
Patel, J, Zeckhauser, R, and Hendricks, D (1991) The Rationality Struggle: Illustrations from Financial Markets, American Economic Review, 81, 232-236.
Pensions Commission (2005) A New Pensions Settlement for the Twenty-First Century, The Stationery Office, Norwich. Peoples, R., and Wilcox, K. (2006) Value-based Multidisciplinary Optimization for Commercial Aircraft Design, Journal of Aircraft, 43, 913-21.
Polkovnichenko, V. (2003) Household Portfolio Diversification, presentation at Rodney White Center for Financial Research conference on Household Portfolio Choice and Financial Decision-Making, March.
Poterba, J, Rauh, J, Venti, S, and Wise, D (2003) Utility Evaluation of Risk in Retirement Saving Accounts, NBER Working Paper 9892.
Poterba, J., Rauh, J., Venti, S., and Wise, D. (2006) Lifecycle Asset Allocation Strategies and the Distribution of 401(K) Retirement Wealth, National Bureau of Economic Research Working Paper 11974, January.
Poterba, J., and Summers, L. (1988) Mean Reversion in Stock Returns: Evidence and Implications, Journal of Financial Economics, 22, 27-60.
Purcell, P (2002) The Enron Bankruptcy and Employer Stock in Retirement Plans, CRS Report for Congress. US GOP. Code RS21115.
Rabin, M and Thaler, R (2001) Anomolies: Risk Aversion, Journal of Economic Perspectives, 15, 219-232.
Rietz, T. (1988) The Equity Risk Premium: A Solution, Journal of Monetary Economics, 22, 117-31.
Sainsbury, R., Finch, N., and Corden A. (2006) Self-employment and retirement, Department for Work and Pensions, Research Report 395, October (ISBN 1 84712 106 3).
Samuelson, P. A. (1969) Lifetime Portfolio Selection by Dynamic Stochastic Programming, Review of Economics and Statistics, 51, 239-46.
Samuelson, P.A. (1989) A Case at Last for Age-phased Reduction in Equity, Proceedings of the National Academy of Sciences, Washington, DC.
Samuelson, P. A. (1991), Long-run Risk Tolerance when Equity Returns are Mean Regressing: Pseudoparadoxes and Vindication of ‘Businessman’s Risk’, in Brainard, W., Nordhaus, W., and Watts, H. (eds) Macroeconomics, Finance and Economic Policy: Essays in Honour of James Tobin, MIT Press, Cambridge, MA.
Samuelson, P. A. (1992), At Last, a Rational Case for Long-Horizon Risk Tolerance and for Asset-Allocation Timing, in Arnott, R.D., and Fabozzi, F.J., (eds), Active Asset Allocation, McGraw Hill, London.
Selnow, G (2004) Motivating Retirement Planning: Problems and Solutions, in Mitchell, O, and Utkus, S (2004a)
Shefrin H and Statman, M (1985) The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance, 40, 777-790.
Siegel, J. (1997) Stocks for the Long Term. Richard D. Irwin, New York.
Siegel, J., (1999) The Shrinking Equity Premium, Journal of Portfolio Management 26, 10–17.
Simon, H (1955) A Behavioral Model of Rational Choice, Quarterly Journal of Economics, 69, 99-118.
Social Trends 30 – 2000 Edition, Office for National Statistics, The Stationery Office, London
Social Trends 36 – 2006 Edition, Office for National Statistics, Palgrave Macmillan, London.
Stock, J., and Wise, D. (1990) Pensions, the Option Value of Work and Retirement, Econometrica, 58, 1151-80.
Sun, W., Triest, R., and Webb, A. (2007) Optimal Retirement Asset Decumulation Strategies: The Impact of Housing Wealth, Pensions Institute Discussion Paper PI-0702
Thaler, R. (1985) Mental Accounting and Consumer Choice, Marketing Science, 4, 199-214.
Thaler, R. (1999) Mental Accounting Matters, Journal of Behavioural Decision Making, 12, 183-206.
Thaler, R. and Bernartzi, S. (1999) Risk Aversion or Myopia? Choices in Repeated Gambles and Retirement Investments, Management Science, 45, 364-381.
Thaler, R. and Bernartzi, S. (2004), Save More Tomorrow: Using Behavioural Economics to Increase Employee Saving, Journal of Political Economy, 112, S164-S187.
Thaler R and Shefrin, H (1981) An Economic Theory of Self-Control, Journal of Political Economy, 89, 392-406.
Thaler, R and Sunstein, C (2003) Libertarian Paternalism, American Economic Review, 93, 175-179.
Thoresen O (2007) Financial Capability: The Government’s long-term Approach, H M Treasury, London.
Timmermann, A., and Blake, D. (2005), International Asset Allocation with Time-Varying Investment Opportunities, Journal of Business, 78, 71-98.
Tonks, I (2005) Performance Persistence of Pension Fund Managers, Journal of Business, 78, 1917-1942.
Tversky, A and Kahneman, D (1974) Judgment Under Uncertainty: Heuristics and Biases, Science,185, 1124-1131.
Wadsworth, M. (2005) The Pension Annuity Market: Further Research into Supply and Constraints, Association of British Insurers, London.
Warner, J. and Pleeter, S. (2001) The Personal Discount Rate: Evidence from Military Downsizing Programs, American Economic Review, 91, 33-53.
Weber, E. (2004) Who’s Afraid of a Poor Old Age? Risk Perception and Risk Management Decisions, in Mitchell, O, and Utkus, S (2004a).
Weil, P. (1989) The Equity-Premium Puzzle and the Riskfree Rate Puzzle, Journal of Monetary Economics, 24, 401-421.
Yaari, M. (1965) Uncertain Lifetime, Life Insurance, and the Theory of the Consumer, Review of Economic Studies, 32, 137-150.
Yao, R., and Zhang, H. (2005) Optimal Consumption and Portfolio Choice with Risky Housing and Borrowing Constraints, Review of Financial Studies, 18, 197-239.