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        Rewarding Risk in Life-Cycle Investin

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        Publication date
        2020
        Author
        Heijden, E. van der
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        Summary
        Recently, the Dutch government and the social partners came to an agreement about a renewal of the Dutch pension system. The pension accrual of participants will be conditional and depend on the achieved returns. The accrual will also be age-dependent and pension funds are allowed to invest according the life-cycle principle, changing the level of risk for participants of different ages. We derive the optimal allocation of assets according to the theory of life-cycle investing. We develop a stylized pension fund model along with a financial market model that invests the assets according to the life-cycle principle. We compare 4 different life-cycle strategies with a default strategy. No significant improvement for the pension accrual is found for the life-cycle strategies.
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        https://studenttheses.uu.nl/handle/20.500.12932/35950
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