Dollar cost averaging (DCA) is a widely employed investment strategy in financial markets. At the same time it is also well documented that such gradual policy is sub-optimal from the point of view of risk averse decision makers with a fixed investment horizon T 0. However, an explicit strategy...

This paper analyses old-age retirement decisions of Slovenian men and women eligible to retire in the period 1997-2003. In addition to established market economies, relatively high hazard rates of retirement are found, which decline with age. This peculiar pattern can be partly attributed to...

In this paper we analyse old-age retirement decisions of Slovenian men and women eligible to retire in the period 1997-2003. In comparison to established market economies, we find relatively high hazard rates of retirement that decline with age. This peculiar pattern can be partly attributed to...

We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and VAR defined investor preferences. As the results of our numerical calculations indicate our approximate approach facilitates greater accuracy and reduces simulation time...

This paper develops an analytical approximation, based on conditioning on the first order Taylor series expansion, for the distribution function of a terminal value of a series of constant mix portofolio investments placed over fixed time horizon for the case when log-returns of assets follow a...

Merton's model (Merton 1974) has long been a standard for estimating company's probability of default (PD) for listed companies. The major advantage of Merton's model is the use of current market prices to determine the probability of default. The logic behind the model is simple; the market...

In this paper we model the daily average temperature via an extended version of the standard Ornstein Uhlenbeck process driven by a Levy noise with seasonally adjusted asymmetric ARCH process for volatility. More precisely, we model the disturbances with the Normal inverse Gaussian (NIG) and...