I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...

Se estudia asignaciones óptimas de clases de activo (Asset Allocation) para afiliados representativos a las AFP con diferentes plazos para jubilar. Se supone que el afiliado desearía maximizar su pensión esperada al momento de jubilar, dado un nivel de riesgo. Entonces, la pregunta es qué...

This paper supplements Dark (2003c) where bivariate error correction GARCH and FIGARCH models between the All Ordinaries Index and its Share Price Index (SPI) futures are used to estimate dynamic minimum variance hedge ratios (MVHRs). Dark (2003c) documents the importance of allowing for long...

A new explanation for the well-known reluctance of retirees to buy life annuities is due to Milevsky and Young (2002, 2003). Specifically, the decision to buy longevity insurance is largely irreversible, so that the real option to delay annuitization generally has value. Milevsky and Young...