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Mortality risk and real optimal asset allocation for pension funds

Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We analyze the problem of real optimal asset allo cation for a p ensionfund maximising the exp ected CRRA utility of its real disp osable wealth.The ﬁnancial horizon of the analysis coincides with the random deathtime of a representative subscriber. We consider a very general settingwhere...

Persistent link: https://www.econbiz.de/10005858365

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fundmaximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for both...

Persistent link: https://www.econbiz.de/10005859125

When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions

Beber, Alessandro; Brandt, Michael W. - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … bad news for bond returns in expansions and, to a lesser extent, when it contains good news for bond returns in … contractions. In particular, we observe the strongest bond market response to bad news in the release of non-farm payrolls in …

Persistent link: https://www.econbiz.de/10005858024

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …

Persistent link: https://www.econbiz.de/10005858383

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Beber, Alessandro; Brandt, Michael W.; Kavajec, Kenneth A. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Do bond investors demand credit quality or liquidity? The answer is both, but at different times and for different … reasons. Using data on the Euro-area government bond market, which features a unique negative correlation between credit … market uncertainty. In contrast, the destination of large flows into the bond market is determined almost exclusively by …

Persistent link: https://www.econbiz.de/10005858392

Pricing Prepayment Option in C&I Loans at Origination

Cossin, Didier; Lu, Hongze - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This paper presents a pricing model of commercial and industrial (C&I) loan prepayment option. Modeling of prepayment is essential in pricing mortgage contracts since prepayment truncates the timing and amount of expected cash flows. Lenders normally charge a penalty for prepayment, for example...

Persistent link: https://www.econbiz.de/10005858717

International Capital Flows

Tille, Cedric; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2008

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice, an aspect that was largely cast aside when the ad-hoc portfolio balance models of the 1970s were replaced bymodels of optimizing agents. We develop the...

Persistent link: https://www.econbiz.de/10005857750

Portfolio Management without Probabilities or Statistics

Flam, Sjur Didrik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Considered here is on-line portfolio management aimed at maximizing the long-run growth of ﬁnancial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....

Persistent link: https://www.econbiz.de/10005857758

Financial Market Equilibria With Cumulative Prospect Therory

De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The paper shows that ﬁnancial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an inﬁniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Persistent link: https://www.econbiz.de/10005857777

Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspeciﬁcation, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneﬁcial...

Persistent link: https://www.econbiz.de/10005858020