Science & Research

The founders of Lifeplan have conducted extensive research within the field of long-term financial investment – culminating in the blueprint for a revolutionary concept to provide each private individual with a tool to best manage their pension capital. Below, we have put together a list of references behind this blueprint – including notable contributions to modern scientific literature as well as some of our own publications.

Life-cycle portfolio choices

Campbell J. Y., J. Cocco, F. Gomes and P. Maenhout, 2001, Investing Retirement Wealth: A life-cycle Model, in John Y. Campbell and Martin Feldstein(eds), Risk Aspects of Social Security Reform, The University of Chicago Press, Chicago, IL.

Carlsson E., K. Erlandzon and J. Gustavsson, 2008, A Tale of Two Systems: Winners and Losers when moving from Defined Benefit to Defined Contribution Pensions, Mathematical Methods in Economics and Finance 3, 17-39.

Carroll C. and A. Samwick, 1997, The Nature of Precautionary Wealth, Journal of Monetary Economics 40, 41-71.

Cocco J.F, 2005, Portfolio Choice in the Presence of Housing, Review of Financial Studies 18, 535-567.

Cocco J.F, F.J. Gomes and P.J. Maenhout, 2005, Consumption and Portfolio Choice over the Life-Cycle, Review of Financial Studies 18, 491-533.

Deaton, A., 1991, Saving and liquidity constraints, Econometrica 59, 1221-1248.

Friedman M., 1957, A Theory of the Consumption Function, Princeton Univ. Press, Princeton, NJ.

Gomes F. and A. Michaelides, 2005, Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence, Journal of Finance 60, No. 2, 869-904

Gourinchas P-O. and J.A. Parker, 2002, Consumption over the life-cycle, Econometrica 70, 47-89.

Merton R.C., (1971), Optimum Consumption and Portfolio Choice in a Continuous-Time Model, Journal of Economic Theory, 3, 373-413.

Modigliani, F. and R. Brumberg, 1954, Utility Analysis and the Consumption Function: An Interpretation of Cross-section Data, in K. Kurihara, editor, Post Keynesian Economics, Rutgers University Press, New Brunswick, NJ.

Samuelson P.A., 1969, Lifetime Portfolio Selection by Dynamic Stochastic Programming, Review of Economics and Statistics 51, 239-246.

Yao R. and H.H. Zhang, 2005, Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints, Review of Financial Studies 18, 197-238.

Zeldes, S.P. 1989, Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence, Quarterly Journal of Economics 104, 275-98.

Performance evaluation

Brown S.J., W.N. Goetzmann, 1995, Attrition and Mutual Fund Performance, Journal of Finance, 50, 679-698.

Dahlquist M., S. Engström, P. Söderlind, 2000, Performance and Characteristics of Swedish Mutual Funds, Journal of Financial and Quantitative Analysis, 35, 409-423.

Edwin J.E., M.Gruber, C.R. Blake, 1996, Survivorship Bias and Mutual Fund Performance, Review of Financial Studies 9, 1097-1120.

Grinblatt M. S. Titman, 1989, Portfolio Performance Evaluation: Old Issues and New Insights, Review of Financial Studies 2, 393-421.

Ippolito R.A., 1989, Efficiency with costly information: A study of mutual fund performance, Quaterly Journal of Economics, 104, 1-24.

Jensen, M.C., 1968, The performance of mutual funds in the period 1945—1964, Journal of Finance 23, 389-416.

Sharpe W.F., 1966, Mutual fund performance, Journal of Business, 39, 119-138.

Sharpe W.F., 1992, Asset allocation, management style and performance measurement, Journal of Portfolio Management, Fall, 49-58.

Household investments

Calvet J.E., J.Y. Campbell and P. Sodini, 2006, Down or Out: Assessing the Welfare Costs of Household Investment Mistakes, working paper NBER No. 12030.

Campbell J.Y., 2006, Household Finance, Journal of Finance 18, 535-567.

Hall Mishkin : Hall, R.E., and F.S. Mishkin, 1982, The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households, Econometrica 50, 461-81.

Pension systems & risk sharing

Campbell J.Y., 2003, Investment Risk and Social Security Reform Public Policy Panel, American Finance Association.

Campbell J.Y., 2005, Risksharing in Pensions Systems, working paper, Harvard University.

Campbell J.Y. and Y. Nosbusch, 2006, Intergenerational Risksharing and Equilibrium Asset Prices, working paper, Harvard University.

Carlsson E. and K. Erlandzon, 2006, The Bright Side of Shiller-Swaps: A Solution to Inter-Generational Risk Sharing, working paper, School of Business, Economics and Law, Göteborg University.

Carlsson E. and K. Erlandzon, 2005, The Dark Side of Wage-Indexed Pensions, working paper, School of Business, Economics and Law, Göteborg University.

CSSS-Commission to Strengthen Social Security, 2001, Strengthening Social Security and Creating Wealth for all Americans, Report of the President’s Commission, www.csss.gov.

Diamond, P.A., 2002, Social Security Reform (Lindahl Lectures), Oxford University Press Inc, New York, NY.

Holzmann R. and E. Palmer, 2006, Pension Reform: Issues and Prospects for Non-Financial Defined Contribution (NDC) Schemes, World Bank, washington D.C.

Shiller R.J., 1993, Macro Markets: Creating institutions for managing society’s largest economic risks, Oxford Univeristy Press, Oxford, U.K.

Shiller R.J., 2003, The New Financial Order: Risk in the 21st Century, Princeton University Press, Princeton, NJ.

Shiller R.J., 2003, Social Security and Individual Accounts as Elements of Overall Risk-Sharing, American Economic Review 93, 343-347.

Shiller R.J., 2005, The Life-cycle Personal A Proposal for Social Security: An Evaluation, working paper, NBER.