Im Rahmen des Seminars für Versicherungswissenschaften trägt Professor Svein-Arne Persson von der NHH Norwegian School of Economics vor.

Thema: “Time Diversification in Defined Contribution Plans: Fallacy or Brilliance?” 

Dienstag, dem 6. Oktober 2026, 

um 10:00 Uhr 

in HeHo 18, Raum E60

Abstract: 

We study how future contributions to a defined contribution (DC) pension plan affect the optimal equity allocation during the accumulation period. We distinguish accumulated financial wealth from contribution wealth — the present value of future pension contributions, related to, but not identical to, to human capital in the lifecycle-portfolio literature. Applying the standard Merton allocation to economic pension wealth — the sum of financial wealth and non-traded contribution wealth — implies a constant risky share of economic pension wealth. Because contribution wealth typically shrinks relative to financial wealth over the accumulation period, this allocation rule translates into a risky share of financial wealth that varies with the realized ratio of the two wealth components and declines with age on average. Since the resulting equity exposure can exceed 100 percent of financial wealth, we also consider a capped, long-only version that rules out leverage and short positions. In our baseline simulation, this capped plan retains 94.56 percent of the certainty-equivalent wealth of the unconstrained plan, while outperforming the standard Merton plan applied to financial wealth alone. Seven stylised Norwegian industry glide paths likewise outperform the standard Merton benchmark, achieving 91–93 percent of the unconstrained certainty-equivalent wealth. These results show that a declining equity glide path can arise purely from the implicit wealth effect of future contributions, without any exogenous change in risk aversion or investment horizon.