This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …

influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic …, decision making. We find that preventive measures, such as Value-at-Risk constraints, tend to decrease the gains to dynamic …

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks … cointegration-based VAR (EC-VAR) model, successfully account for the crosssectional variation in equity returns at both short and … of cointegration-based long run consumption risks for financial markets …

The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain … the form of labor contracts). We derive wages endogenously as part of a dynamic equilibrium in a production economy. Risk … facilitate this risk sharing because it is there that firms offload the labor market risk they assumed from workers. In effect …

an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What … matters is the long-run as opposed to the short-run risk. Domestic equity is a good hedge with respect to long-run real … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias …

techniques from the theory of multiple risk-bearing. Applying this analysis, the effect of labor income taxes on the demand for …The effect of uninsured labor income risk on the joint saving/portfolio composition decision is analyzed using new …