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Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions
Smetters, Kent - 2002
Unfunded defined-benefit (DB) public pension plans throughout the world are being converted to funded defined-contribution (DC) plans that typically contain a minimum benefit guarantee (DC-MB). Risk management techniques must be used to control the cost of these guarantees. The most common...
Persistent link: https://www.econbiz.de/10012469983
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The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security
Abel, Andrew B. - 2002
Is the stock market boom a result of the baby boom? This paper develops an overlapping generations model in which a baby boom is modeled as a high realization of a random birth rate, and the price of capital is determined endogenously by a convex cost of adjustment. A baby boom increases...
Persistent link: https://www.econbiz.de/10012469499
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Migration and Pension
Razin, Assaf - 1998
Migration has important implications for the financial soundness of the pension system, which is an important pillar of the welfare state. While it is common sense to expect that young migrants, even if low-skilled, can help society pay the benefits to the currently elderly, it may nevertheless...
Persistent link: https://www.econbiz.de/10012472035
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Stock Market Efficiency and Economic Efficiency : Is There a Connection?
Dow, James - 1995
discretion in determining the level of investment. What is the link between stock price informational efficiency and economic … efficiency? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given …
Persistent link: https://www.econbiz.de/10012473644
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Asset Pricing and Intrinsic Values : A Review Essay
Lehmann, Bruce N. - 1991
efficiency tests. Reflections on the measurement of intrinsic value provide insight into the interpretation of existing evidence … and suggestions for generating new evidence on market efficiency. This review essay on the state of knowledge about market … efficiency focuses on "A Reappraisal of the Efficiency of Financial Markets", analyzing the research areas from this perspective …
Persistent link: https://www.econbiz.de/10012475116
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Accounting for technology heterogeneity in the measurement of persistent and transient inefficiency
Skevas, Ioannis - In: Economic modelling 137 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014549231
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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867
Persistent link: https://www.econbiz.de/10003800096
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The asymptotic null distribution of the Box-Pierce q-statistic for random variables with infinite variance : an application to German stock returns
Runde, Ralf - In: Journal of econometrics 78 (1997) 2, pp. 205-216
Persistent link: https://www.econbiz.de/10001219989
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Risk attitude optimization and heterogeneous stock market participation
Sarver, Todd - 2017
This paper studies equilibrium portfolio choice and asset returns using a new model of recursive preferences called optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally select her risk aversion parameter in response to the...
Persistent link: https://www.econbiz.de/10012116795
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Tests of CAPM on an International Portfolio of Bonds and Stocks
Engel, Charles - 1993
.S., Germany and Japan choose a portfolio that includes bonds and equities from each of these countries to maximize a function of …
Persistent link: https://www.econbiz.de/10012474342