the Markowitz mean-variance framework to derive estimates of the pre-tax, real risk-return tradeoff curve currently facing … an investor in the U.S. capital markets. Some of the major findings are: 1) Bills are the cornerstone of any low-risk … investment strategy. The minimum-risk portfolio has a mean real rate of return of zero and a standard deviation of about 1%. The …

can tolerate more risk in their investment portfolios than the old. The model has other implications for the study of …

these securities represent the only true long-run hedge against inflation risk. CPI-linked bonds make possible the creation … indexation of benefits in private pension plans. A firm could hedge the risk associated with a long-term indexed liability by …

funding, as is consistent with the corporate financial perspective. We also find some evidence that firms facing higher risk …

of deriving equilibrium risk premia on the various asset classes. We employ the variance-covariance matrix of real rates … economy-wide average degree of risk aversion to derive numerical values for these risk premia. This procedure allows us to …

any given level of risk exposure. The special feature is the fact that investment earnings are not taxed as long as the … hedge benefits accruing to active employees. Academic research into the theory of optimal funding and asset allocation rules … so far has failed to decisively confirm or reject the predictions of this theory of corporate pension policy. Recent rule …