pairs of currencies allowing market participants to swap them using the fixed price function. Liquidity providers take on … market risk as a liquidity provider in exchange for earning commissions on each trade. Here we analyze the risk profile of a …

This paper examines the optimal allocation of risk across generations whose savings mix is subject to illiquidity in … thus lowers the benefits of risk-sharing. Higher illiquidity then may justify higher levels of risk sharing to compensate …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …

This paper examines the optimal allocation of risk across generations whose savings mix is subject to illiquidity in … thus lowers the benefits of risk-sharing. Higher illiquidity then may justify higher levels of risk sharing to compensate …

scheme. The central feature of the pension fund model is that equity risk manifests itself in the form of implicit taxes and … to wage-differentials, implying that risk-taking and risk-sharing induces distortions in labor markets. I show that labor …-supply effects impede the pension fund from taking advantage of intergenerational risk-sharing. The analysis provides an economic …

Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations …. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to … hedge their systematic longevity risk. Longevity bonds will lead to a more secure pension savings market, together with a …