This paper considers dynamic asset allocation in a mean versus downside-risk framework. We derive closed-form solutions for the optimal portfolio weights when returns are lognormally distributed. Moreover, we study the impact of skewed and fat-tailed return distributions. We find that the...

People are concerned about maintaining purchasing power in times of rising inflation. We formulate investment objectives in terms of real wealth, assuming investors derive utility from the number of goods they can buy with their monetary wealth. We derive closed-form solutions for the portfolio...

In this paper we study the retirement saving problem from the point of view of a plan sponsor, who makes contribution payments for the future retirement of an employee. The plan sponsor considers the employee's labor income as investment-benchmark in order to ensure the continuation of...

In 1996 Alan Greenspan warned that stock prices were "unduly escalated" and reflected "irrational exuberance". In this paper we describe an economy that can support a prolonged surge of asset prices, accompanied by a sharp increase of volatility. We study an equilibrium model where some agents...

In this paper we generalize the primal--dual cone affine scaling algorithm of Sturm and Zhang to semidefinite programming. We show in this paper that the underlying ideas of the cone affine scaling algorithm can be naturely applied to semidefinite programming, resulting in a new algorithm....

In this chapter we describe the optimal set approach for sensitivity analysis for LP. We show that optimal partitions and optimal sets remain constant between two consecutive transition-points of the optimal value function. The advantage of using this approach instead of the classical approach...

Asset liability management (ALM) is an important and challenging problem for institutional investors and financial intermediaries. The requirement to fulfill its liablilities constrains the institutional investor in its asset allocation possiblilites. We formulate an ALM model for pension funds...

Decision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool developed to deal with optimization with uncertainties that has found applications in, e.g. finance, such as asset-liability and bond-portfolio management. Computationally...

Financial literacy predicts informed financial decisions, but what explains financial literacy? We use the concept of financial socialization and aim to represent three major agents of financial socialization: family, school and work. Thus we compile twelve relevant childhood characteristics in...

This research studies the stylized fact of a "gender gap" in that women tend to have lower financial literacy than men. Our data which samples middle-class people from Bangkok does not show a gender gap. This result is not explained by men's low financial literacy, nor by women's high income and...