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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

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 management for pension funds

Menoncin, Francesco; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the expected present value of its wealth augmented by the prospective mathematical reserve at the death time of a representative member. Design/methodology/approach: we apply the stochastic...

Persistent link: https://www.econbiz.de/10005858533

False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas

Barras, Laurent; Scaillet, Olivier; Wermers, R. - Institut für Schweizerisches Bankwesen <Zürich> - 2008

This paper uses a new approach to determine the fraction of truly skilled managers among the universe of U.S. domestic-equity mutual funds over the 1975 to 2006 period. We develop a simple technique that properly accounts for false discoveries, or mutual funds which exhibit significant...

Persistent link: https://www.econbiz.de/10005858726

Technical Trading Revisited: Persistence Tests, Transaction Costs, and False Discoveries

Bajgrowicz, Pierre; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones index. First, we use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it is more powerful and not restricted only to the best...

Persistent link: https://www.econbiz.de/10005857744

Geographic versus Industry Diversification : Constraints Matter

Ehling, Paul; Ramos, Sofia B. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...

Persistent link: https://www.econbiz.de/10005857789

Stock Exchange Competition in a Simple Model of Capital Market Equilibrium

Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...

Persistent link: https://www.econbiz.de/10005858015

Endogenous Acquisition of Information and The Equity Home Bias

Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper investigates the extent to which differences in information costs can explain the equity home bias puzzle … thatif cost functions are convexthe expected size of the equity home bias in terms of differences in invested amounts is … suggests that the information cost explanation accounts only for a small fraction of the observed equity home bias. …

Persistent link: https://www.econbiz.de/10005858507

Financial Integration, Economic Instability And Trade Structure In Emerging Markets

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this study, we first estimate the level of financial integration for twenty five emerging stock markets over the last decade. Using a multivariate GARCH(1,1)-M return generating model allowing for partial market integration as well as for the pricing of systematic emerging market risk, we...

Persistent link: https://www.econbiz.de/10005858763

How to diversify internationally?A comparison of conditional and unconditional asset allocation methods

Barras, Laurent; Isakov, Dusan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

o obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes...

Persistent link: https://www.econbiz.de/10005859126

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