Showing 1 - 10 of 41
We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the … and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …
Persistent link: https://www.econbiz.de/10012772381
The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …
Persistent link: https://www.econbiz.de/10012823391
hourly output and hourly revenue risk-reducing benefits from the optimal choice of locational generation capacities is … and solar energy and revenue risk are computed using the actual market portfolio and the risk-adjusted expected hourly …
Persistent link: https://www.econbiz.de/10012985578
fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …
Persistent link: https://www.econbiz.de/10013243615
choices and the valuation of fees and investors' payoffs. Increasing the investment allocation to the alpha …-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking …
Persistent link: https://www.econbiz.de/10013128908
This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following … periods of relatively poor investment performance. In addition, pension plans that select a relatively high rate with which to …
Persistent link: https://www.econbiz.de/10013115597
While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …. This paper investigates the effect of financial innovation on portfolio risks in an economy when both the risk sharing and … the possibilities for risk sharing. My main result shows that financial innovation also always increases the speculative …
Persistent link: https://www.econbiz.de/10013119601
stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …
Persistent link: https://www.econbiz.de/10013125573
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …
Persistent link: https://www.econbiz.de/10013106309
In a life-cycle model, a retiree faces stochastic health depreciation and chooses consumption, health expenditure, and the allocation of wealth between bonds, stocks, and housing. The model explains key facts about asset allocation and health expenditure across health status and age. The...
Persistent link: https://www.econbiz.de/10013150983