We analyze the problem of real optimal asset allo cation for a p ensionfund maximising the exp ected CRRA utility of its real disp osable wealth.The financial horizon of the analysis coincides with the random deathtime of a representative subscriber. We consider a very general settingwhere...

Zur Eigenmittelunterlegung von Leistungszusagen in der Auszahlphase bei investmentfondsbasierten Altersvorsorgeverträgen: Ein Gestaltungsvorschlag Im Mittelpunkt der vorliegenden Studie stehen finanzielle Leistungszusagen, die Kapitalanlagegesellschaften im Rahmen der Entnahmephase von...

Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen Für private Anleger ist der Schutz gegen Kaufkraftverluste ein wesentliches Element der Anlageentscheidung. Für den Zeitraum 01/1980-12/2000 werden die Inflationsrisiken von typischen Anlagen in nationale Portefeuilles aus...

Die Performance internationaler Portfolio-Diversifikationsstrategien aus der Sicht deutscher und ungarischer Investoren Diese Arbeit untersucht die Vorteilhaftigkeit der internationalen Diversifikation von Aktienportfolios aus der Sicht deutscher sowie ungarischer Investoren. Es wurden...

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

This paper develops a simple technique that controls for false discoveries, or mutual funds that exhibit significant alphas by luck alone. Our approach precisely separates funds into (1) unskilled, (2) zero-alpha, and (3) skilled funds, even with dependencies in cross-fund estimated alphas. We...

In a financial market with one riskless asset and n risky assets following geometric Brownian motions, we solve the problem of a pension fundmaximizing the expected CRRA utility of its terminal wealth. By considering a stochastic death time for a subscriber, we solve a unique problem for both...

We compute the optimal dynamic annuitization and asset allocation policy for a retiree with Epstein/Zin preferences, uncertain investment horizon, potential bequest motives, and pre-existing pension income. In our setting the retiree can decide each year how much he consumes and how much he...

Many tax-codes around the world allow for special taxable treatment of savings in retirement accounts. In particular, profits in retirement accounts are usually tax exempt which allow investors to increase an asset’s return by holding it in such a retirement account. While the existing...

As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of international investments. This study examines the...