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Comparing Costs and Risks of Retirement Plans for Sponsors

Pang, Gaobo - 2012

This stochastic simulation analysis compares funding costs and volatilities for private sponsors of traditional defined … equivalent benefit generosity in the different plan types are determined. The modeling includes current funding requirements and … practices as well as a comprehensive set of uncertainties in asset and labor markets. The results show that costs and risks for …

Persistent link: https://www.econbiz.de/10013116013

How News and Its Context Drive Risk and Returns around the World

Calomiris, Charles W. - 2020

We develop a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies. A parsimonious summary of news, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow, predicts...

Persistent link: https://www.econbiz.de/10012854443

The Factor Risk in Low-Risk Anomalies

Ehsani, Sina - 2020

The low variance (LV) strategy always bets against the volatile leg of common factor-portfolios. The risk of the strategy, measured by factor exposures, is thus perfectly predictable based on the status of factor portfolio variances during the formation period. I find that the strategy earns...

Persistent link: https://www.econbiz.de/10012846990

Reducing the Risk of Investing in Stocks

Núñez-Letamendia, Laura - 2012

Although financial literature presents ambiguous evidence about the predicting value of fundamental and technical variables in stock markets, we find that evolving trading models based on fundamental variables substantially reduce the risk of investing in stocks. This reduction is so generous...

Persistent link: https://www.econbiz.de/10013109096

Linear Risk Sharing in Intergenerational Pension

Anthropelos, Michail; Chen, An; Vanduffel, Steven; … - 2023

We introduce and analyze a novel collective defined contribution plan (CDC) which guarantees upon retirement at least a target benefit as a lump sum. The guarantee is provided by the remaining working generations under a pre-determined linear intergenerational risk sharing (IRS) rule.Through a...

Persistent link: https://www.econbiz.de/10014349939

Optimal Intergenerational Risk-Sharing When Stock and Labor Markets Are Co-Integrated

Boelaars, Ilja; Mehlkopf, Roel - 2020

A well-established belief in the pension industry is that collective pension funds with mandatory participation can take more stock market risk compared to pension schemes based on individual retirement accounts, because current risks can be shared with future generations. We setup a continuous...

Persistent link: https://www.econbiz.de/10014352171

Optimal Risk-Sharing in Pension Funds When Stock and Labor Markets are Co-Integrated

Boelaars, Ilja - 2018

A well established believe in the pension industry is that collective pension funds should take more stock market risk (compared to individual retirement accounts) since risk may be shared with future generations. We extend the OLG model of Gollier (2008) by adding labor income risk in the...

Persistent link: https://www.econbiz.de/10012917289

Sustainable Withdrawal Rates During Retirement and the Risks of Financial Ruin

Alles, Lakshman - 2014

This paper describes the application of two different techniques for measuring sustainable withdrawal rates during retirement and the associated risks in running out of funds in the retirement savings pool. The first is a bootstrap simulation approach using recent Australian equity and bond...

Persistent link: https://www.econbiz.de/10013064924

Innovative approaches to managing longevity risk in Asia : lessons from the West

Roy, Amlan - 2012

This paper discusses what is longevity risk, why it is important, approaches used by the West to manage longevity risk and what lessons can be learnt by Asian countries from the experiences of the West. Increasing and uncertain longevity has emerged as a key risk affecting individuals, pension...

Persistent link: https://www.econbiz.de/10009530191

Relative Value Hedge Funds : A Behavioral Modeling of Hedge Fund Risk and Return Factors

Swartz, Lee Mick - 2018

This study has 4 contributions to the literature. First, the authors analyze the risk characteristics for 11 Relative Value hedge fund strategies. Second, the authors introduce 3 families of behavioral factors, the D family, the L family, and the R family. In contrast to previous hedge fund...

Persistent link: https://www.econbiz.de/10012923264

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