A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...

We derive and estimate the optimal disbursement from an infinitely-lived charitable trust with an Epstein-Zin-Weil utility function, given general Markovian returns to wealth. We analyze two special cases: where spending is a power function of last period's wealth and the endowment uses 'payout...

This research studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory defined contribution retirement plan. The paper develops the implications and describes the construction and administration of a...

Financial regulators are weighing up the effectiveness of different templates for communicating investment risk to retirement savers since welfare depends on comprehension of risk information. We compare nine standard risk presentations using a discrete choice experiment where subjects choose...

Financial regulators are weighing up the effectiveness of different templates for communicating investment risk to retirement savers since welfare depends on comprehension of risk information. We compare nine standard risk presentations using a discrete choice experiment where subjects choose...

Individuals, endowments and trusts face uncertain lifetimes. When the planning horizon of an entity is stochastic and Pareto distributed, hyperbolic discounting and time-varying consumption rates are optimal. We derive expressions for the optimal rate of consumption (draw-down) from wealth for...

This study investigates the effects of the market portfolio being unknown on the estimation of beta in the CAPM. Providing an analysis of the impact of using a proxy for the market portfolio when the market portfolio is known. This allows one to ask and answer 'if what' questions, such as if...

The suitability of the elliptical distribution to model asset returns in applied work is examined. Two frameworks are identified: the first framework allows for normality testing but fails to capture the GARCH effect present in the data; the second framework captures the GARCH effect but has the...