most important risk factors that produce DB pension underfunding, namely investment risk and liability risk. Both are …

Structural positions are very common in investment practice. A structural position is defined as a permanent …' information ratios. Information ratios, in investment practice defined as the ratio of active return to active risk, do not …

private investors' asset allocation. We show that total final wealth can be decomposed into what the investor would have … final wealth decreases over time, so does the investor's equity exposure. …

investor maximizing final wealth, given a certain asset allocation. The higher the performance of stocks compared to bonds, the … higher the tax burden put on stocks compared to bonds. Simultaneously, the longer the remaining investment horizon, the … in the TDA. An algorithm is provided to determine the investment strategy that maximizes (expected) funds at the end of a …