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Micro Foundations of Savings Behavior in Urban Pakistan
Shaikh, Salman - Volkswirtschaftliche Fakultät, … - 2013
Savings rate in Pakistan is one of the lowest in the regional countries. As a result, investment to GDP ratio has been … the role of savings in long term economic growth. There have been studies in past on the macroeconomic determinants of … savings in Pakistan. But, few studies have explored micro foundations of savings behavior in Pakistan. This study uses primary …
Persistent link: https://www.econbiz.de/10011111761
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Portfolio Management and Retirement : What is the Best Arrangement for a Family?
Post, Thomas - 2006
In comparing an immediate life annuity with a payout-equivalent investment fund payout plan (self-annuitization), research to date has focused mainly on shortfall probabilities of self-annuitization. As an exception, Schmeiser and Post (2005) propose a family strategy where the chances of...
Persistent link: https://www.econbiz.de/10012779397
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Money in Motion : Dynamic Portfolio Choice in Retirement
Horneff, Wolfram J. - 2011
Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...
Persistent link: https://www.econbiz.de/10012714494
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Money in motion: Dynamic portfolio choice in retirement
Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - Center for Financial Studies - 2007
Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...
Persistent link: https://www.econbiz.de/10010958527
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Personal Pensions with Risk sharing: Affordable, Adequate and Stable Private Pensions in Europe
Bovenberg, A Lans; Nijman, Theo E - C.E.P.R. Discussion Papers - 2015
Private pension provision faces the challenging task of providing stable income streams during retirement. The challenge has increased markedly in the last decades due to volatile financial markets, falling interest rates and the withdrawal of employers and external insurers as risk bearers of...
Persistent link: https://www.econbiz.de/10011252616
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Money in Motion: Dynamic Portfolio Choice in Retirement
Mitchell, Olivia; Horneff, Wolfram J.; Maurer, Raimond H.; … - National Bureau of Economic Research (NBER) - 2007
Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...
Persistent link: https://www.econbiz.de/10005828977
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Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts
Mitchell, Olivia; Chai, Jingjing; Horneff, Wolfram; … - National Bureau of Economic Research (NBER) - 2009
This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the...
Persistent link: https://www.econbiz.de/10004980314
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Term Structure Estimation
Nawalkha, Sanjay K. - 2020
The term structure of interest rates gives the relationship between the yield on an investment and the term to maturity of the investment. Since the term structure is typically measured using default-free, continuously-compounded, annualized zero-coupon yields, it is not directly observable from...
Persistent link: https://www.econbiz.de/10012705827
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A Simple Approach to Pricing American Options Under the Heston Stochastic Volatility Model
Beliaeva, Natalia - 2019
In a recent paper, NBZ [2010] present a multidimensional transform for generating path-independent trees for pricing American options under low dimensional stochastic volatility models. For this class of models, this approach has higher accuracy than the GARCH tree method of Ritchken and Trevor...
Persistent link: https://www.econbiz.de/10012706075
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The Progeny of CAPM
Nawalkha, Sanjay K. - 2016
This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based...
Persistent link: https://www.econbiz.de/10012707137