We survey the long-term derivative instruments (warrants) offered by Australian institutions to elderly Australian investors. Our focus is on products other than plain-vanilla life annuities. There are currently four active products. They incorporate a strike price which is either constant or...

This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks into permanent and transitory and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a...

The authors use the permanent income hypothesis as the framework to analyze a number of results from recent empirical macroeconomic research. First, they demonstrate that the "productivity" shock isolated in both the three and six variable models of King, Plosser, Stock, and Watson (1991)...

The present paper investigates the relationship between consumption, labour income and household wealth in Australia within the inter-temporal consumption framework developed by Lettau and Ludvigson (2001). We first test for a long-run relationship among these series and then investigate whether...

We investigate efficient fee structures for actively managed funds when both the investor-principal and the prospective manager-agent have utility functions of the generalized log variety. Efficient fees include a fixed component that reflects the manager's protected consumption. This is a new...

We extend an influential contribution to the literature on agency theory and then use this extension, along with other theoretical contributions, to shed light on agency problems affecting funds management and financial planning in Australia. The case for pure fee for service in actively managed...

Luxury bequests impart systematic effects of age to an investor's optimal allocation: the expected percentage allocation to equities rises throughout retirement. When bequests are luxuries the marginal utility of bequests declines more slowly than the marginal utility of consumption. This is...

After declining worldwide since the late 1080s, defined benefits plans will not recover their previous dominance in Australia because they can only be offered by large and stable organisations. Since 1992, Australia has had compulsory superannuation that is mostly privately managed in addition,...