We develop a top-down strategic pathway towards green investing and show that eco-investing should not be a puzzle or a sacrifice if investors consider the unknown impact of climate change on different asset classes. We investigate the impact of climate change over a large universe of asset...

We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into account for an agent who fears model misspecification. The robust agent is assumed to minimize the shortfall between the assets and liabilities under an endogenous worst case...

We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into account for an agent who fears model misspecification. The robust agent is assumed to minimize the shortfall between the assets and liabilities under an endogenous worst case...

Due to the scarcity of the long-term market instruments, the valuation of private defined-benefit (DB) pension liabilities requires an extrapolation of the yield curve. In Canada, corporate yields are adopted to discount the private DB pension liabilities, but the issue on how to extrapolate the...

We investigate the validity of the argument by the financial services industry to “roll over your ‘old' 401(k) plan” because 401(k)-type plans have a limited number of investment options, while IRAs have a virtually unlimited number of options. We empirically analyze the diversification of...

I investigate a dynamic life-cycle strategic asset allocation and consumption problem under model uncertainty, where both inflation rate and income growth rate are assumed to be estimated with errors. I present a feasible boundary for the uncertainty aversion parameter, which measures the...