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

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 …

Using regular variation to define heavy tailed distributions, we show that prominent downside risk measures produce … similar and consistent ranking of heavy tailed risk. Thus regardless of the particular risk measure being used, assets will be …

In this paper we compare overall as well as downside risk measures with respect to the criteria of first and second … order stochastic dominance. While the downside risk measures, with the exception of tail conditional expectation, are … consistent with first order stochastic dominance, overall risk measures are not, even if we restrict ourselves to two …