ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We … risk channel arising from fluctuations in the fund's endowment. We use our calibrated model to study the implications of a …

make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely … the risk of funding shortfall. We seek to explore the optimal asset allocation strategies for such institutions, the … effects of funding shortfall risk on asset prices, and its ability to explain any empirical asset pricing regularities that …

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy … investments in leveraged portfolios also. The approach seems to modify the meaning of "nondiversifiable-risk" of the market risk …

Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine … PD, PC detailed per subclass. Risk is decomposed in Class CoVariance, applicable from five positions upwards, and Single …, Class or Single, Sep2022 or low interest rates Sep2021. Adding PE and PD reduces LDI-risk very much and delivers …

beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB … price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our … of risk aversion, which is inconsistent with the existing literature. …

level of risk. The performance of pension funds is often measured by their global asset returns because of the latter … risk level given their social security (and not speculative) function. We describe the process of the global asset return … carried out to balance the asset composition when the established local degree of risk is exceeded. The application is carried …

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the … fund returns, we extend previous studies to analyze the effect of reference-day risk on regression alphas, a metric that is …

The paper develops a novel econometric approach to estimate abnormal returns and systematic risk of private equity … systematic risk and abnormal returns. In addition, unlike previous studies that derive estimates based on the standard CAPM, the … investments documented is lower than found in previous studies that estimate a standard CAPM, which is consistent with the theory …