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Liability valuation and optimal asset allocation
Inkmann, Joachim; Blake, David - London School of Economics (LSE) - 2004
Current approaches to asset-liability management employ a sequence of distinct procedures to value liabilities and determine the asset allocation. First, a discount rate that is usually dic-tated by accounting standards is used to value liabilities. Second, the asset allocation is determined by...
Persistent link: https://www.econbiz.de/10010745722
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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
This paper considers the asset-allocation strategies open to members of defined- contribution pension plans. 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....
Persistent link: https://www.econbiz.de/10010746138
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Best ideas
Silli, Bernhard; Cohen, Randolph B; Polk, Christopher - London School of Economics (LSE) - 2008
Persistent link: https://www.econbiz.de/10010746282
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Are "market neutral" hedge funds really market neutral?
Patton, Andrew J. - London School of Economics (LSE) - 2004
One can consider the concept of market neutrality for hedge funds as having breadth and depth: breadth reflects the number of market risks to which a fund is neutral, while depth reflects the completeness of the neutrality of the fund to market risks. We focus on market neutrality depth, and...
Persistent link: https://www.econbiz.de/10010746652
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...
Persistent link: https://www.econbiz.de/10011170088
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Investment choice and inflation uncertainty
Fischer, Gregory - London School of Economics (LSE) - 2013
aggregates. The data show that periods of increased inflation uncertainty are associated with substantial reductions in total …
Persistent link: https://www.econbiz.de/10010884740
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Inflation, inequality and social conflict
Crowe, Christopher - London School of Economics (LSE) - 2004
This paper presents a political economy model of inflation as a result of social conflict. Agents are heterogeneous in … terms of income. Agents’ income levels determine their ability to hedge against the effects of inflation. The interaction of … model makes a number of predictions concerning which environments are conducive to the emergence of inflation. Inflation …
Persistent link: https://www.econbiz.de/10010745045
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Nominal wage rigidity and the rate of inflation
Nickell, Stephen; Quintini, Glenda - London School of Economics (LSE) - 2001
inflation is low. Despite the substantial numbers of individuals whose nominal wages fall from one year to the next, we find … that if long-run inflation is one percent higher, the number of individuals with negative real pay growth increases by …
Persistent link: https://www.econbiz.de/10010746590
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Do financial crises erode potential output? evidence from OECD inflation responses
Bijapur, Mohan - London School of Economics (LSE) - 2012
This paper presents evidence from a panel investigation of OECD countries that inflationary pressures tend to be stronger during recovery from financial crises compared to recovery from non-crisis economic downturns, indicating impairment in productive potential.
Persistent link: https://www.econbiz.de/10011126125
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Are credit crunches supply or demand shocks?
Bijapur, Mohan - London School of Economics (LSE) - 2013
inflation to rise in the short term. Our results also suggest that the effects on aggregate supply have grown stronger in recent …
Persistent link: https://www.econbiz.de/10011126591