Francisco Gomes is a professor at the London Business School. Alexander Michaelides is a lecturer at the London School of Economics. The authors would like to thank John Laitner, David Webb and Steve Zeldes for helpful discussions and seminar participants at the University of Cyprus and the UBS Asset Management pensions seminar at the LSE for helpful suggestions. The research reported herein was performed pursuant to a grant from the U.S. Social Security Administration (SSA) to the Center for Retirement Research at Boston College (CRR). The opinions and conclusions are solely those of the author and should not be construed as representing the opinions or policy of SSA or any agency of the Federal Government or of the CRR. The author would like to thank Misuzu Azuma for excellent research assistance.