maximum limits by asset class) in order to create funds with different risk-return profiles. In this article we challenge this … approach and show that such funds exhibit erratic risk-return profiles that deviate significantly from the intended design. We … propose to replace all minimum and maximum asset allocation constraints by a single risk metric (or measure) that controls …

retirement income experience than diversifying one's portfolio across asset classes. We also show that Glidepath investing is … decumulation phase following retirement. We investigate the withdrawal experience associated with Glidepath Investing in the US …

proposes a comparison making use of projection models based on the long-term risk-return tradeoff proposed by Campbell and …

funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by different … of return and income risks and also upon the actuarial fairness of annuity contracts. …

Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price … phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering … and the risk premium is 16 percent of lifetime consumption. These values are about a third of the previously implied …

We decompose the standard consumption beta into two components that measure consumption risk in high and low economic … activity states. Recessionary consumption risk commands a positive and statistically significant compensation, while the market … price of expansionary consumption risk is not robust. The two-beta model explains well the cross-section of excess returns …