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Asset pricing and risk sharing implications of alternative pension plan systems
Coimbra, Nuno; Gomes, Francisco J.; Michaelides, … - 2024
Persistent link: https://www.econbiz.de/10015065840
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Stock investments for old-age : less return, more risk, and unexpected timing
Ulbricht, Dirk - 2013
Returns merely based on one purchasing price of an asset are uninformative for people regularly contributing to their old-age provision. Here, each purchase has an influence on the outcome. Still, they are commonly used in finance literature, giving an overly optimistic view of expected...
Persistent link: https://www.econbiz.de/10010189923
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Financial evaluation of Tadawul All Share Index (TASI) listed stocks using capital asset Pricing Model
Vinodkumar, Nisa; AlJasser, Hadeel Khalid - In: Investment management and financial innovations 17 (2020) 2, pp. 69-75
Persistent link: https://www.econbiz.de/10012303063
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Portability, salary and asset price risk : a continuous-time expected utility comparison of DB and DC pension plans
Chen, An; Uzelac, Filip - In: Risks : open access journal 3 (2015) 1, pp. 77-102
This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that...
Persistent link: https://www.econbiz.de/10010509440
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Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 108 (2023), pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
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Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
Coimbra, Nuno; Gomes, Francisco; Michaelides, Alexander; … - 2023
We show that incorporating defined benefit pension funds in an asset pricing model with incomplete markets improves its ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We emphasize the importance of the pension fund's...
Persistent link: https://www.econbiz.de/10014351210
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The impact of investment horizon on the return and risk of investments in securities in Lithuania
Urbšienė, Laimutė; Bugajevas, Andrius; Pipiras, Marekas - In: Organizations and markets in emerging economies 7 (2016) 2, pp. 88-111
in Lithuania. The authors are proposing a hypothesis that a long-term investment in shares is not only more profitable … this research are based on OMXV index and 10-year government bond data from Lithuania. Our results are different from the … to 60 months, the risk of shares in Lithuania still remains higher than the risk of bonds, and return of shares is lower …
Persistent link: https://www.econbiz.de/10012195112
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An empirical analysis of the performance of pension funds : evidence from UK
Adami, Roberta; Gough, Orla; Mukherjee, Suranjita; … - In: Studies in economics and finance 31 (2014) 2, pp. 141-155
Persistent link: https://www.econbiz.de/10011336787
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An investment based valuation approach for pension fund cash flows
Tobler-Oswald, Jürg (contributor) - 2006
Persistent link: https://www.econbiz.de/10003364134
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Global Asset Return in Pension Funds : A Dynamical Risk Analysis
Bianchi, Sergio - 2011
The aim of the paper is to develop a technique for rebalancing pension fund portfolios in function of their point wise level of risk. The performance of pension funds is often measured by their global asset returns because of the latter's influence on periodic contributions and/or future...
Persistent link: https://www.econbiz.de/10013122380