I am a Senior Lecturer in the Department of Finance at the University of Melbourne.
My research focuses on investment decisions of households and pension plan trustees. I am interested in normative questions (How should households invest over their life cycle?) and positive questions (Can theory explain observed investment behaviour of households?). I therefore usually combine theoretical models with empirical research in my work, which is relevant for the design of default funds in defined contribution pension plans and the regulation of defined benefit pension plans. My research has been covered by the Financial Times, Investments & Pension Europe, Risk magazine and others.
I have been working on these questions in various roles in academia and the finance industry. As a consultant in the Pension Advisory group of Siemens Financial Services in Munich, I advised trustees of large defined benefit pension plans in Europe and the United States on asset liability management. After my return to academia, I was associated with the UBS Pensions Research Programme hosted by the Financial Markets Group at the London School of Economics and the Network for Studies on Pensions, Aging and Retirement (Netspar) at Tilburg University. I have been a Netspar Research Fellow since 2005.
I studied economics at the University of Göttingen and the University of Mannheim and graduated in 2000 with a doctoral degree in economics from the University of Konstanz with a thesis in applied econometrics. I have been teaching classes in investments and applied econometrics at all levels. I am currently Deputy Honours Coordinator and Brown Bag Seminar Convener at the Department of Finance.
Academic Research
Current Working Papers
Inkmann, J., A. Michaelides, and Y. Zhang (2024): When Does Intra-Household Risk Sharing Matter for Life-Cycle Portfolio Choice?, working paper [SSRN link].
Abstract: Empirically, double-income couples have lower perceptions of household income risk than single-income couples and singles and hold larger shares of financial wealth in stocks. We show that these observations are consistent with risk sharing of idiosyncratic earnings risk in a quantitative, collective, life-cycle portfolio choice model for double-income couples if partners differ in relative risk aversion. Even modest intra-household heterogeneity in risk preferences generates a substantial increase in risk taking compared to a unitary model if the less risk averse partner has more bargaining power. Risk sharing does not matter if partners have identical risk preferences, irrespective of bargaining power.
Inkmann, J. (2024): Aggregate Portfolio Choice, forthcoming in Journal of Empirical Finance [Open access].
Abstract: Important portfolio choice decisions are made for large groups of heterogeneous individual investors. I propose solving the cross-sectional average of the individual Euler equations to find an optimal portfolio for an aggregate of investors under one-size-fits-all constraints. Using a dynamic portfolio choice model to design balanced default funds for 72 hypothetical industry pension plans, the average Euler equations depend on industry-specific per-capita earnings growth and moments of idiosyncratic earnings shocks. Inter-industry heterogeneity in moments of the joint distribution of earnings growth and the return on risky assets, including correlation and cokurtosis, explains the variation in optimal choice variables across industries.
Brugler, J., J. Inkmann, and A. Rizzo (2024): Estimating Background Risk Hedging Demands from Cross-Sectional Data, conditionally accepted at Journal of Financial Research [SSRN link].
Abstract: Based on a theory of portfolio choice with non-tradable assets, we estimate hedging demands due to background risks before and after the Great Recession for U.S households. Hedging demands related to human capital, residential property and business assets reduce financial risk-taking, but these effects decline over the Great Recession, as does expected risk-adjusted stock market performance. We also estimate the appropriate discount rate to compute the risk-adjusted value of human capital, which declines by around 8% over the period. Unlike previous literature requiring panel data with large time dimensions, our approach only requires cross-sectional data to identify hedging demands.
Journal Articles
Inkmann, J., D. Blake, and Z. Shi (2017): Managing Financially Distressed Pension Plans in the Interest of Beneficiaries, Journal of Risk and Insurance, 84 (2), 539-565 (featured article) [Journal link].
Inkmann, J., and Z. Shi (2016): Life-Cycle Patterns in the Design and Adoption of Default Funds in DC Pension Plans, Journal of Pension Economics and Finance, 15 (4), 429-454 [Journal link].
Inkmann, J., and Z. Shi (2015): Parametric Portfolio Policies in the Surplus Consumption Ratio, International Review of Finance, 15 (2), 257-282 [Journal link].
Inkmann, J., and A. Michaelides (2012): Can the Life Insurance Market Provide Evidence for a Bequest Motive?, Journal of Risk and Insurance, 79 (3), 671-695 [Journal link].
Inkmann, J., P. Lopes, and A. Michaelides (2011): How Deep is the Annuity Market Participation Puzzle?, Review of Financial Studies, 24 (1), 279-319 [Journal link].
Inkmann, J. (2010): Estimating Firm Size Elasticities of Product and Process R&D, Economica, 77 (306), 384-402 [Journal link].
Hautsch, N., and J. Inkmann (2003): Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations, Journal of Asset Management, 4 (3), 173-198, 2003 [Journal link].
Inkmann, J. (2000): Misspecified Heteroskedasticity in the Panel Probit Model: A Small Sample Comparison of GMM and SML Estimators, Journal of Econometrics, 97 (2), 227-259 [Journal link].
Books and Book Chapters
Inkmann, J. (2001): Conditional Moment Estimation of Nonlinear Equation Systems - With an Application to an Oligopoly Model of Cooperative R&D, Lecture Notes in Economics and Mathematical Systems, Vol. 497, Heidelberg: Springer [Publisher link].
Franz, W., J. Inkmann, W. Pohlmeier, and V. Zimmermann (2000): Young and Out in Germany: On the Youths’ Chances of Labor Market Entrance in Germany, in: D. G. Blanchflower and R. B. Freeman (eds.), Youth Employment and Joblessness in Advanced Countries, 381-426, Chicago: The University of Chicago Press [NBER link].
Inkmann, J., W. Pohlmeier, and L. Ricci (2000): Where to Patent? Theory and Evidence on International Patenting, in: H.-J. Vosgerau (ed.), Institutional Arrangements for Global Economic Integration, 122-140, London: Macmillan [Publisher link].
Klotz, S., W. Pohlmeier, and J. Inkmann (2000): Langfristige Folgen eines mißglückten Übergangs von der Lehre in den Beruf, in: F. Büchel, M. Diewald, P. Krause, A. Mertens, and H. Solga (eds.), Zwischen drinnen and draußen. Soziale Ausgrenzung am deutschen Arbeitsmarkt, 53-62, Opladen: Leske+Budrich [Publisher link].
Inkmann, J., S. Klotz, and W. Pohlmeier (1998): Permanente Narben oder temporäre Blessuren? Eine Studie über die langfristigen Folgen eines mißglückten Einstiegs in das Berufsleben auf der Grundlage von Pseudo-Panel-Daten, in: F. Pfeiffer and W. Pohlmeier (eds.), Qualifikation, Weiterbildung und Arbeitsmarkterfolg, 223-255, Baden-Baden: Nomos [ZEW link].
Inactive Working Papers
Inkmann, J. (2006): Compensating Wage Differentials for Defined Benefit and Defined Contribution Occupational Pension Scheme Benefits, UBS Pensions Research Programme Working Paper 42, London School of Economics [LSE link].
Inkmann, J., (2000): Horizontal and Vertical R&D Cooperation, Working Paper, University of Konstanz [Econstor link].
Inkmann, J., W. Pohlmeier (1995): R&D Spillovers, Technological Distance, and Innovative Success, Working Paper, University of Konstanz.