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The risk-return relationship of pension funds with investments in hedge funds
Leal, Ricardo Pereira Câmara; Mendes, Beatriz Vaz de Melo - In: Latin American business review : journal of the … 11 (2010) 2, pp. 141-169
Persistent link: https://www.econbiz.de/10008748651
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International diversification and industry-related labor income risk
Fugazza, Carolina; Giofré, Maela; Nicodano, Giovanna - In: International review of economics & finance : IREF 20 (2011) 4, pp. 764-783
Persistent link: https://www.econbiz.de/10009303856
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Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Liang, Zongxia; Ma, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 151-161
Persistent link: https://www.econbiz.de/10011397973
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Portability, salary and asset price risk : a continuous-time expected utility comparison of DB and DC pension plans
Chen, An; Uzelac, Filip - In: Risks : open access journal 3 (2015) 1, pp. 77-102
beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB … price risk. We model these tradeoffs explicitly in this paper and compare these two plans in a utility-based framework. Our … of risk aversion, which is inconsistent with the existing literature. …
Persistent link: https://www.econbiz.de/10010509440
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Optimal risk-sharing in pension funds when stock and labor markets are co-integrated
Boelaars, Ilja; Mehlkopf, Roel - 2018
Persistent link: https://www.econbiz.de/10011856197
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The inclusion of hedge funds in Swiss pension fund portfolios
Favre, Laurent; Galéano, José-Antonio - In: Financial markets and portfolio management 15 (2001) 4, pp. 450-472
Persistent link: https://www.econbiz.de/10001865101
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The market for sharing interest rate risk : quantities and asset prices
Khetan, Umang; Li, Jian; Neamtu, Ioana; Sen, Ishita - 2024
Persistent link: https://www.econbiz.de/10014481359
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The market for sharing interest rate risk: quantities behind prices
Khetan, Umang; Neamțu, Ioana; Sen, Ishita - 2023
Persistent link: https://www.econbiz.de/10014373715
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The prospective low risk hedge fund capital allocation line model : evidence from the debt market
Vukovic, Darko B.; Prosin, Victor - In: Oeconomia Copernicana 9 (2018) 3, pp. 419-439
Persistent link: https://www.econbiz.de/10012230204
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On fund mapping regressions applied to segregated funds hedging under regime-switching dynamics
Trottier, Denis-Alexandre; Godin, Frédéric; Hamel, … - In: Risks : open access journal 6 (2018) 3, pp. 1-15
Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work …
Persistent link: https://www.econbiz.de/10011890772