The Pension Challenge: Risk Transfers and Retirement Income Security

By Olivia S. Mitchell; Kent Smetters | Go to book overview
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References

Benartzi, Shlomo. 2001. “Excessive Extrapolation and the Allocation of 401(k) Accounts to Company Stock.” Journal of Finance 56(5): 1747-1764.

—— and Richard Thaler. 2001. “Naïve Diversification Strategies in Defined Contribution Plans.” American Economic Review 91(1): 79-98.

Bernheim, B. Douglas. 1998. “Financial Illiteracy, Education Retirement Savings.” Living with Defined Contribution Pensions, eds. O. S. Mitchell and Sylvester J. Schieber. Pension Research Council. Philadelphia. PA: University of Pennsylvania Press: 38-68.

Blume, Marshall E. and Irwin Friend. 1975. “The Asset Structure of Individual Portfolios and Some Implications for Utility Functions.” Journal of Finance 30: 585-603.

Brennan, Michael J. and Walter N. Torous. 1999. “Individual Decision Making and Investor Welfare.” Economic Notes 28(2).

Choi, James, David Laibson, Brigitte Madrian, and Andrew Metrick. 2001. “DC plans: Plan Rules, Participant Decisions, and the Path of Least Resistance.” Rodney White Center for Financial Research, Working Paper No. 001-02, Philadelphia, PA: The Wharton School.

Fama, Eugene F. 1972. “Components of Investment Performance.” Journal of Finance 27(3): 551-567.

—— 1976. Foundations of Finance. New York, NY: Basic Books.

Goetzman, William and Alok Kumar. 2001. “Equity Portfolio Diversification.” NBER Working Paper 8686. Cambridge, MA.

Green, Richard C. and Burton Hollifield. 1992. “When will Mean-variance Efficient Portfolios be Well-diversified?” Journal of Finance 47(5): 1785-1809.

Huang, Chi-fu and Robert H. Litzenberger. 1988. Foundations for Financial Economics. New York, NY: North-Holland.

Kandel, Shmuel and Robert F. Stambaugh. 1995. “Portfolio Inefficiency and the Cross-Section of Expected Returns.” Journal of Finance 50(1): 157-184.

Margrabe, William. 1978. “The Value of an Option to Exchange One Asset for Another.” Journal of Finance, March: 177-186.

Meulbroek, Lisa. 2002. “Company Stock in Pension Plans: How Costly Is It?” Working Paper 02-058. Boston, MA: Harvard Business School.

Mitchell, Olivia S. and Sylvester J. Schieber (eds.) 1998. Living with Defined Contribution Pensions. Pension Research Council, Philadelphia, PA: University of Pennsylvania Press.

Purcell, Patrick J. 2002. “The Enron Bankruptcy and Employer Stock in Retirement Plans.” Congressional Research Service. Washington: The Library of Congress.

Roll, Richard. 1977. “A Critique of The Asset Pricing Theory's Tests: Part I.” Journal of Financial Economics 4: 129-176.

Samuelson, Paul A. 1967. “General Proof that Diversification Pays.” Journal of Financial and Quantitative Analysis. Chapter 210 in The Collected Papers of Paul Samuelson, Vol 3, ed. R. C. Merton. Cambridge, MA: MIT Press.

Sharpe, William F. 1970. Portfolio Theory and Capital Markets. New York, NY: McGraw Hill.

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