This paper provides a framework to endogenize rates of return for risk-free bonds and risky capital in an overlapping generation model. The rate of return on capital is endogenized by introducing idiosyncratic production shocks to avoid computation challenges associated with aggregate production...

We examine whether Japanese households have begun to dissave and reduce their holdings of risky assets because of population aging over the period 2000–14. While there is little doubt that household savings have decreased, the true trend without a negative income shock in the early 2000s would...

Since its introduction, the Lee Carter model has been widely adopted as a means of modelling the distribution of projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and actuarial literature, on models suited to risk management...

We study the role of race and ethnicity in the investment decisions of mutual fund managers and investors. Funds managed by white-dominant teams allocate larger portfolio weights to firms led by white CEOs compared to funds managed by minority-dominant teams. Nevertheless, white-dominant fund...

In this study we use the 2010-2013 Survey of Consumer Finances to analyze the allocation and location of financial assets in categorizing the tax-efficiency of investment portfolios by race/ethnicity. We find that Blacks and Hispanics tend to be more tax-efficient since they invest largely...

Using case studies of two investment companies, this paper highlights that organizations may have “investment tribes,” i.e., groups of individuals who appear to exhibit similar risk tendencies for gambles involving gains or losses, possibly with a wide spread of risk preferences. Tribes and...