We optimize the asset allocation, consumption and bequest decisions of an investor with uncertain lifetime and under time-varying investment opportunities. The asset menu is given by stocks, zero coupon bonds and pure endowments with different maturities. The latter are contingent on either a...

Since its announcement made on Sept. 6, 2011, the Swiss National Bank (SNB) has been pursuing the goal of a minimum EUR/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level. We use a compound option pricing approach to...

he aim of this paper is to evaluate the performance of inflation forecasts backed out from the nominal and real yield curves in the United Kingdom. We use the Nelson-Siegel (NS) framework to model the break-even inflation term structure, and we also consider the one-day break-even inflation...

We develop an overlapping generation model to analyze the underlying factors that determine the saving behavior among European households. We show that an increase in youth labor supply causes a rise in household savings. In response to an increase in corporate equity, household savings...

Investors might prefer to consider the problem of minimizing the semivariance of a portfolio given a certain benchmark rather than the variance, as in such case only the downside volatility is considered as risk. However, such optimization framework has received limited attention compared to the...

We propose an equilibrium model of asset prices in which agents learn about the mean and the volatility of the endowment process and differ in their concerns about parameter uncertainty. We show that, in equilibrium, following unexpected bad and good news about economic outcomes (i) uncertainty...