168 - Optimal life cycle investment with pay-as-you-go pension schemes: a portfolio approach

DNB Working Papers
Date 15 February 2008

In this paper we show how pay-as-you-go pension schemes impact on the individual.s optimal investment portfolio. Introducing a pay-as-you-go pension scheme implies that human wealth of young generations is transferred to retired generations. As a consequence, individuals will in general invest less conservatively. These portfolio effects gradually disappear at the end of life. JEL Classification: H55; D91; G11 Keywords: Social security; Risk sharing; Portfolio choice