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The Journal of Portfolio Management

The Journal of Portfolio Management

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Primary Article

Stock Ownership Decisions in Defined-Contribution Pension Plans

Julian Douglass, Owen Wu and William T Ziemba
The Journal of Portfolio Management Summer 2004, 30 (4) 92-100; DOI: https://doi.org/10.3905/jpm.2004.92
Julian Douglass
A Ph.D. candidate in finance at the Sauder School of Business of the University of British Columbia in Vancouver, Canada.
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Owen Wu
A Ph.D. candidate in operations and logistics at the Sauder School of Business of the University of British Columbia.
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William T Ziemba
The alumni professor of financial modeling and stochastic optimization at the Sauder School of Business of the University of British Columbia and Nomura visiting fellow in financial mathematics at Oxford University in the U.K.
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  • For correspondence: ziemba@interchange.ubc.ca
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Abstract

Why would investors choose a large weighting in the stock of their employer? Holding employer company stock is very risky. It is optimal only for employees with very low risk aversion or with very high return expectations for company stock. Rational one-period models cannot explain high observed weightings in company stock in defined-contribution pension plans. Nor can a behavioral interpretation. Some factors must be missing from rational choice models to explain employer company stock holdings.

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The Journal of Portfolio Management
Vol. 30, Issue 4
Summer 2004
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Stock Ownership Decisions in Defined-Contribution Pension Plans
Julian Douglass, Owen Wu, William T Ziemba
The Journal of Portfolio Management Jul 2004, 30 (4) 92-100; DOI: 10.3905/jpm.2004.92

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Stock Ownership Decisions in Defined-Contribution Pension Plans
Julian Douglass, Owen Wu, William T Ziemba
The Journal of Portfolio Management Jul 2004, 30 (4) 92-100; DOI: 10.3905/jpm.2004.92
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