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Risk return and portfolio allocation under alternative pension systems with imperfect financial markets

Miles, David - 2001

Persistent link: https://www.econbiz.de/10013423389

Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets

Miles, David - 2001

between funded and unfunded systems when there are sources of uninsurable risk that are allocated in different ways by … return and income risks and also upon the actuarial fairness of annuity contracts. We focus on the case of Japan where aging …

Persistent link: https://www.econbiz.de/10014460977

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model

Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19

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1984

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The rate of return to corporate capital and factor shares : new estimates using revised national income accounts and capital stock data

Poterba, James M. - 1997

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Non-linear predictability in stock and bond returns : when and where is it exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching...