I believe that every tax-paying firm's defined benefit pension fund portfolio should be invested entirely in bonds (or insurance contracts). Although the firm's pension funds are legally distinct from the firm, there is a close tie between the performance of the pension fund investments and the...

Using a simple conventional model with additive separable utility and constant elasticity, we can explain mean reversion and consumption smoothing. The model uses the price of risk and wealth as state variables, but has only one stochastic variable. The price of risk rises temporarily as wealth...

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I believe that every tax-paying firm's defined benefit pension fund portfolio should be invested entirely in bonds (or insurance contracts). Although the firm's pension funds are legally distinct from the firm, there is a close tie between the performance of the pension fund investments and the...