By using their financial reserves efficiently, pension funds can smooth shocks on assetreturns, and can thus facilitate intergenerational risk-sharing. In addition to the primarybenefit of improved time diversification, this form of risk allocation affords the additionalbenefit of allowing these...

The minimisation of the return variance is one of the classical topics of portfolio theory. One of the main difficulties of variance minimisation is the neccessary input factors- variances and covariances- of the assets of the investment universe- are unknown. Often these variances and...