This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Little is known about the degree to which individuals are uncertain about their future Social Security benefits, how this varies within the U.S. population, and whether this uncertainty influences financial decisions related to retirement planning. To illuminate these issues, we present...

Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes identified by regime switching models are...

This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping - generations model. We analyze this interaction both in a partial - equilibrium and general - equilibrium setting. Retirement flexibility is often seen as a hedge against capital - market...

This paper proposes a structural approach to long-horizon asset allocation. In particular, the investor draws inferences about asset returns from a vector autoregression (VAR) with economic restrictions on the intercept, slope, and covariance matrix implied by the long-run risk model of Bansal...

We study the multi-period asset allocation problem for emerging-market investors whose asset menu consists of stocks, bonds and bills. We consider two types of investors: domestic investors who invest in emerging-market assets only (with returns in local currency) and international investors who...

We study the multi-period asset allocation problem for emerging market investors whose asset menu consists of stocks, bonds and bills. We consider two types of emerging market investors: domestic investors (with returns in local currency) and international investors who can invest in US and...

We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity risk leads to increased and state-dependent risk aversion, and reduces the allocation to...

We develop a dynamic valuation model of private equity (PE) investments by solving the portfolio-choice problem for a risk-averse investor (LP), who invests in a PE fund, managed by a general partner (GP). Key features are illiquidity, leverage, GP value-adding skills (alpha), and compensation,...

Models can be wrong and recognising their limitations is important in financial and economic decision making under uncertainty. Robust strategies, which are least sensitive to perturbations of the underlying model, take uncertainty into account. Finding the explicit set of alternative models...