This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...

By using their financial reserves efficiently, pension funds can smooth shocks on their asset returns, and can thus facilitate intergenerational risk-sharing. In addition to the primary benefit of improved time-diversification, this form of risk allocation affords the additional benefit of...

In the standard portfolio problem, a shift in the distribution of the risky asset is 'portfolio-dominated' if it reduces the demand for the risky asset by all risk-averse agents, irrespective of the risk-free rate. The author shows that the condition obtained by M. Landsberger and I. Meilijson...