Thesis is a collection of three papers with several contributions to the optimisation of future pension plans for the long-term savers while minimising their investment risk. Since pillar aim is to improve the transparency of the pension funding, we develop investment strategies for individual...

We revisit the study of Cochrane (2005) to estimate the risk and return of venture capital investments with selection bias correction. We use an up-to-date dataset and enhance it to account for missing valuations using machine learning. We infer, with a median error of less than 4%, the true log...

This paper uses the enactment of China’s 2007 Property Law (the Law), which reduces the risk of expropriation by local governments, as the setting to investigate the importance of property rights protection for private firm investment. Using propensity score matching and a...

Risk driver contributions are key to understanding portfolio risk. Often, this is done by decomposing portfolio ‘volatility’. This is problematic in the presence of non-elliptical distributions. Some asset managers propose switching to value-at-risk (VaR) or expected shortfall (ES) as risk...

Applications of risk diversification strategies to conservation problems assume returns do not diminish with greater investment. Not accounting for diminishing returns may cause the allocation of investment to a single or limited target site, which may not reflect the fact that additional...

This paper examines the risk aspects of an investment-based defined contribution Social Security plan. We focus on the risk after the plan is fully phased in. Individuals deposit a fraction of wages to a Personal Retirement Account (PRA), invest these funds in a 60:40 equity-debt mix, and in a...