We analyze a collective defined contribution pension fund which aims at intergenerational risk sharing among different age cohorts using a return smoothing mechanism. Using a utility based framework, we find that approximately one third of unexpected return shocks should be directly passed on to...

How does portfolio of long-term investors like pension funds change relative to the stated strategic portfolio? We investigate their portfolio dynamics using an international database that spans over 20 years and focus on portfolio rebalancing. We find that a significant proportion of the change...

This paper proposes a panel data framework for tests of affine models of the term structure of interest rates which covers equilibrium (or endogenous) models as well as extended (or exogenous, evolutionary) models. The econometric model pools yield curve data for different moments in time. Since...