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Levelling the playing field : a VIX-linked structure for funded pension schemes

Bégin, Jean-François - In: Insurance / Mathematics & economics 94 (2020), pp. 58-78

Persistent link: https://www.econbiz.de/10012419121

Optimal VIX-linked structure for the target benefit pension plan

Lv, Chen; Li, Danping; Wang, Yumin; Zhu, Xiaobai - In: ASTIN bulletin : the journal of the International … 54 (2024) 1, pp. 75-93

Persistent link: https://www.econbiz.de/10014485596

Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk

Harenberg, Daniel - 2018

This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in … idiosyncratic risk increases the equity premium by 70 percent, which means that the mechanism described in Constantinides, Donaldson … the zero-borrowing constraint is a lot weaker. More surprisingly, when I introduce idiosyncratic labor income risk in an …

Persistent link: https://www.econbiz.de/10011900994

Swimming with wealthy sharks : longevity, volatility andthe value of risk pooling

Milevsky, Moshe Arye - In: Journal of pension economics and finance : JPEF 19 (2020) 2, pp. 217-246

Persistent link: https://www.econbiz.de/10012193716

How small shocks and heterogeneous expectations can create swings in the exchange rate

Sløk, Torsten; Sørensen, Jens Peter - 1997

Persistent link: https://www.econbiz.de/10000956407

Price volatility and investor behavior in an overlapping generations model with information asymmetry

Watanabe, Masahiro - In: The journal of finance : the journal of the American … 63 (2008) 1, pp. 229-272

Persistent link: https://www.econbiz.de/10003821591

Intergenerational complementarities in education and the relationship between growth and volatility

Palybos, Theodōros (contributor); … - 2009

We construct an overlapping generations model in which parents vote on the tax rate that determines publicly provided education and offspring choose their effort in learning activities. The technology governing the accumulation of human capital allows these decisions to be strategic complements....

Persistent link: https://www.econbiz.de/10003885849

Stock price volatility, negative autocorrelation and the consumption-wealth ratio : the case of constant fundamentals

Leung, Charles Ka Yui; Chen, Nan-kuang - In: Pacific economic review 15 (2010) 2, pp. 224-245

Persistent link: https://www.econbiz.de/10003970640

The effects of volatility on growth and financial development through capital market imperfections

Aysan, Ahmet Faruk - In: ODTÜ gelişme dergisi / Orta Doǧu Teknik … 34 (2007) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10003685238

Genetic learning as an explanation of stylized facts of foreign exchange markets

Lux, Thomas; Schornstein, Sascha - 2002

This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510-541) we investigate a dynamic version of the model in which agents' decision rules are...

Persistent link: https://www.econbiz.de/10011431839

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