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Asset allocation and location over the life cycle with survival-contingent payoffs

Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - 2008

Persistent link: https://www.econbiz.de/10003861308

Is the volatility of the market price of risk due to intermittent portfolio re-balancing?

Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2009

Persistent link: https://www.econbiz.de/10003889788

Asset allocation and location over the life cycle with investment-linked survival-contingent payouts

Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - In: Journal of banking & finance 33 (2009) 9, pp. 1688-1899

Persistent link: https://www.econbiz.de/10003872868

Portfoliomodell und langfristiges Wachstum : neue Makroperspektiven

Welfens, Paul J. J. - In: Empirische Wirtschaftsforschung heute : Festschrift …, (pp. 365-379). 2009

Persistent link: https://www.econbiz.de/10003904777

A Cholesky-MIDAS model for predicting stock portfolio volatility

Becker, Ralf; Clements, Adam; O'Neill, Robert - 2010

Persistent link: https://www.econbiz.de/10008668675

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010

"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...

Persistent link: https://www.econbiz.de/10003933912