In the previous chapter, the object of the present investigation - the Swiss system of old-age provision - was introduced and a particular problem related to this provision system was derived as a research motivation. This problem is essentially represented by the question whether it would be beneficial for Swiss workers if specific elements of choice were introduced to the second pillar of the Swiss system of old-age provision. An economic methodology is now sought to study this issue. This is the purpose of the present chapter.


Stock Market Stock Return Dividend Yield Portfolio Choice Equity Share 
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  1. 1.
    See e.g. Elton et al. (2003) for a textbook treatment.Google Scholar
  2. 2.
    The review closely follows Wallmeier/ Zainhofer (2007).Google Scholar
  3. 3.
    See e.g. Danthine/ Donaldson (2005), p. 76–77.Google Scholar
  4. 4.
    E.g. Campbell/ Viceira (1999).Google Scholar
  5. 5.
    E.g. Xia (2001).Google Scholar
  6. 6.
    E.g. Viceira (2001).Google Scholar
  7. 7.
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  8. 8.
    E.g. Gollier/ Zeckhauser (2002).Google Scholar
  9. 9.
    E.g. Kim/ Omberg (1996), Jagannathan/Kocherlakota (1996), Campbell/Viceira (2002) ch. 2.2.Google Scholar
  10. 10.
    E.g. Campbell/ Viceira (1999).Google Scholar
  11. 11.
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  12. 12.
    E.g. Lax (2001a), Lax (2001b).Google Scholar
  13. 13.
    E.g. Campbell/ Viceira (1999).Google Scholar
  14. 14.
    See e.g. Brennan et al. (1997), Campbell/Viceira (1999), Campbell et al. (2000).Google Scholar
  15. 15.
    See e.g. Xia (2001), Brandt et al. (2003).Google Scholar
  16. 16.
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  17. 17.
    See e.g. Campbell/ Viceira (2002) ch. 3.Google Scholar
  18. 18.
    See e.g. Viceira/ Chacko (2005), Campbell/Viceira (2002) ch. 5.4.Google Scholar
  19. 19.
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  20. 20.
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  22. 25.
    See e.g. Hubbard et al. (1995), Carroll/Samwick (1997), Gourinchas/Parker (2002).Google Scholar
  23. 26.
    See e.g. French (2005) for a life-cycle model of savings (but excluding portfolio choice) with endogenous labor supply and retirement.Google Scholar
  24. 28.
    See chapter 4 below, or Carroll (2002a) for details.Google Scholar
  25. 29.
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  26. 31.
    See also Jagannathan/ Kocherlakota (1996).Google Scholar
  27. 36.
    See Ameriks/ Zeldes (2001), Bertaut/Starr-McCluer (2002), Banks/Tanner (2002), Eymann/Börsch-Supan (2002), Alessie et al. (2002), Andersson (2001) and Guiso/Jappelli (2002).Google Scholar
  28. 37.
    See Guiso et al. (2002), Dynan et al. (2003), Carroll (2002c), Hurd (2002), Curcuru (2003), Heaton/Lucas (2000) and Davis et al. (2004) for further empirical evidence on household portfolio choice.Google Scholar
  29. 38.
    Haliassos/ Michaelides (2002), p. 55.Google Scholar
  30. 39.
    The model by Campbell/ Viceira (2002) is a simplified version of Campbell et al. (1999) used for illustrative purposes in their volume on long term portfolio choice The only difference to Campbell et al. (1999) is the assumption that all wealth in the illiquid retirement account is invested in the riskfree asset and that there is no fixed cost of stock market participation.Google Scholar
  31. 40.
    Campbell et al. (1999) set the risk aversion parameter to 5, whereas we used a value of 7. Thus, the set-ups are not perfectly comparable.Google Scholar
  32. 41.
    In this case, Campbell et al. (1999) reduce the contribution rate from 10% to 6% in order to keep the average replacement rate at the same level as before.Google Scholar
  33. 42.
    Davis et al. (2004), p. 20.Google Scholar
  34. 43.
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  35. 44.
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  36. 45.
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  37. 51.
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  38. 53.
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  39. 54.
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  40. 56.
    Bodie et al. (1992) and Bodie et al. (2004) are not directly comparable to the models reviewed here: Bodie et al. (1992) is a continuous time model without borrowing restrictions. The wage rate is assumed to be perfectly positively correlated with the return on the risky asset in the risky wage regime and labor income is presumed to be insurable. Similarly, in Bodie et al. (2004) asset holdings are not constrained and borrowing against future labor income is possible for the greater part of the analysis. If borrowing against future labor income is not permitted, they are able to derive explicit solutions for consumption and labor choice, but not for portfolio choice.Google Scholar
  41. 58.
    See, e.g., Yao/ Zhang (2005).Google Scholar
  42. 59.
    The bequest motive is different from the one in earlier models in that the investor intends to bequeath an annuity over a given horizon to provide for the beneficiary’s consumption and housing. For details, see Yao/ Zhang (2005), p. 7.Google Scholar
  43. 60.
    Lynch/ Tan (2004), p. 2.Google Scholar
  44. 61.
    Lynch/ Tan (2004), p. 9.Google Scholar

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