This paper focuses on the impact of financial market infrastructures (FMIs) and of their regulation on the post-crisis transformation of securities and derivatives markets. It examines, in particular, the role that trading and post-trading FMIs, and their new regulatory regime, are playing in...

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...

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....

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...

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...

We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...

I document how the organizational form of a mutual fund aects its investment strategies. I show that centralized funds tilt their portfolios to hard information com- panies whereas decentralized funds tilt their portfolios to soft information companies. I also show that the investments of...