Ebrahim, M. Shahid; Mathur, Ike; ap Gwilym, Rhys - In: Journal of Banking & Finance 49 (2014) C, pp. 553-569
This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conceived in a risk neutral setting, that...