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Liability valuation and optimal asset allocation

Inkmann, Joachim; Blake, David - London School of Economics (LSE) - 2004

and the determination of the optimal asset allocation using discount rates that ap-propriately reflect default risk. We …

Persistent link: https://www.econbiz.de/10010745722

Modelling the composition of personal sector wealth in the United Kingdom

Blake, David - London School of Economics (LSE) - 2003

The allocation of UK personal sector wealth across five broad asset categories (net financial wealth, housing (and durable assets) wealth, state pension wealth, private pension wealth, and human capital) is investigated using the FAIDS (financial AIDS) model. Apart from total wealth and returns,...

Persistent link: https://www.econbiz.de/10010745911

Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans

Cairns, Andrew J. G.; Blake, David; Dowd, Kevin - London School of Economics (LSE) - 2004

investigate a model that incorporates three sources of risk: asset risk and salary (or labour-income) risk in the accumulation … phase; and interest-rate risk at the point of retirement. We propose a new form of terminal utility function, incorporating … presence of non-hedgeable salary risk. We compare the performance of stochastic lifestlying with some popular strategies used …

Persistent link: https://www.econbiz.de/10010746138