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When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
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- Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
- Fugazza, Carolina & Giofré, Maela & Nicodano, Giovanna, 2011.
"International diversification and industry-related labor income risk,"
International Review of Economics & Finance, Elsevier, vol. 20(4), pages 764-783, October.
- Carolina Fugazza & Maela Giofre & Giovanna Nicodano, 2010. "International diversification and industry-related labor income risk," Carlo Alberto Notebooks 192, Collegio Carlo Alberto.
- Chen, D.H.J. & Beetsma, R.M.W.J. & van Wijnbergen, S.J.G., 2020.
"Unhedgeable inflation risk within pension schemes,"
Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 7-24.
- Beetsma, Roel & Chen, Damiaan & van Wijnbergen, Sweder, 2019. "Unhedgeable Inflation Risk within Pension Schemes," CEPR Discussion Papers 13742, C.E.P.R. Discussion Papers.
- Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021.
"Household Finance,"
Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
- Haliassos, Michael & Gomes, Francisco, 2020. "Household Finance," CEPR Discussion Papers 14502, C.E.P.R. Discussion Papers.
- Gomes, Francisco J. & Haliassos, Michael & Ramadorai, Tarun, 2020. "Household finance," IMFS Working Paper Series 138, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Peijnenburg, Kim, 2018.
"Life-Cycle Asset Allocation with Ambiguity Aversion and Learning,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 1963-1994, October.
- Kim Peijnenburg, 2014. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," 2014 Meeting Papers 967, Society for Economic Dynamics.
- Alserda, Gosse A.G. & Dellaert, Benedict G.C. & Swinkels, Laurens & van der Lecq, Fieke S.G., 2019. "Individual pension risk preference elicitation and collective asset allocation with heterogeneity," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 206-225.
- Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
- Wouterse, B.; & Hussem, A.; & Wong, A.;, 2018. "The effect of co-payments in Long Term Care on the distribution of payments,consumption, and risk," Health, Econometrics and Data Group (HEDG) Working Papers 18/24, HEDG, c/o Department of Economics, University of York.
- Bütler, Monika & Peijnenburg, Kim & Staubli, Stefan, 2017.
"How much do means-tested benefits reduce the demand for annuities?,"
Journal of Pension Economics and Finance, Cambridge University Press, vol. 16(4), pages 419-449, October.
- Monika Butler & Kim Peijnenburg & Stefan Staubli, 2011. "How Much Do Means-Tested Benefits Reduce the Demand for Annuities?," Working Papers 418, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Monika Bütler & Kim Peijnenburg & Stefan Staubli, 2011. "How Much Do Means-Tested Benefits Reduce the Demand for Annuities?," CESifo Working Paper Series 3493, CESifo.
- Bütler, Monika & Peijnenburg, Kim & Staubli, Stefan, 2011. "How Much Do Means-Tested Benefits Reduce the Demand for Annuities?," Economics Working Paper Series 1124, University of St. Gallen, School of Economics and Political Science.
- Monika Bütler & Kim Peijnenburg & Stefan Staubli, 2013. "How Much Do Means-Tested Benefits Reduce the Demand for Annuities?," NRN working papers 2013-11, The Austrian Center for Labor Economics and the Analysis of the Welfare State, Johannes Kepler University Linz, Austria.
- Aglietta, Michel & Brière, Marie & Rigot, Sandra & Signori, Ombretta, 2012.
"Rehabilitating the role of active management for pension funds,"
Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2565-2574.
- Michel Aglietta & Marie Briere & Sandra Rigot & Ombretta Signori, 2012. "Rehabilitating the Role of Active Management for Pension Funds," Working Papers CEB 12-018, ULB -- Universite Libre de Bruxelles.
- Farina Weiss, 2021. "A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(1), pages 33-81, February.
- Holger Kraft & Claus Munk & Sebastian Wagner, 2018.
"Housing Habits and Their Implications for Life-Cycle Consumption and Investment [The evolution of homeownership rates in selected OECD countries: demographic and public policy influences],"
Review of Finance, European Finance Association, vol. 22(5), pages 1737-1762.
- Kraft, Holger & Munk, Claus & Wagner, Sebastian, 2015. "Housing habits and their implications for life-cycle consumption and investment," SAFE Working Paper Series 85, Leibniz Institute for Financial Research SAFE, revised 2015.
- Reus, Lorenzo, 2024. "The integral of the squared Gaussian process," Chaos, Solitons & Fractals, Elsevier, vol. 179(C).
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
- Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2014.
"Optimal Life-Cycle Portfolios for Heterogeneous Workers,"
Review of Finance, European Finance Association, vol. 18(6), pages 2283-2323.
- Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012. "Optimal life-cycle portfolios for heterogeneous workers," Carlo Alberto Notebooks 266, Collegio Carlo Alberto, revised 2013.
- Fabio Bagliano & Carolina Fugazza & Giovanna Nicodano, 2013. "Optimal life-cycle portfolios for heterogeneous workers," Working Papers 260, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
- Fabio C. Bagliano & Carolina Fugazza & Giovanna Nicodano, 2012. "Optimal life-cycle portfolios for heterogeneous workers," Working papers 012, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Bram Wouterse & Arjen Hussem, 2019. "The welfare effects of co-payments in long term care," CPB Discussion Paper 394, CPB Netherlands Bureau for Economic Policy Analysis.
- Ferstl, Robert & Weissensteiner, Alex, 2011.
"Asset-liability management under time-varying investment opportunities,"
Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
- Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
- Alserda, G.A.G. & Steenbeek, O.W. & van der Lecq, S.G., 2017. "The Occurrence and Impact of Pension Fund Discontinuity," ERIM Report Series Research in Management ERS-2017-008-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017. "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, vol. 23(2), pages 254-291, March.
- Christensen, Peter Ove & Larsen, Kasper & Munk, Claus, 2012. "Equilibrium in securities markets with heterogeneous investors and unspanned income risk," Journal of Economic Theory, Elsevier, vol. 147(3), pages 1035-1063.
- Bart Diris & Franz Palm & Peter Schotman, 2015. "Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation," Management Science, INFORMS, vol. 61(9), pages 2185-2202, September.
- Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & van Wijnbergen, Sweder J.G., 2023.
"Intergenerational sharing of unhedgeable inflation risk,"
Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 140-160.
- Damiaan H.J. Chen & Roel M.W.J. Beetsma & Sweder J.G. van Wijnbergen, 2022. "Intergenerational Sharing ofUnhedgeable Inflation Risk," Tinbergen Institute Discussion Papers 22-088/IV, Tinbergen Institute.
- Chen, Damiaan & Beetsma, Roel & van Wijnbergen, Sweder, 2022. "Intergenerational Sharing of Unhedgeable Inflation Risk," CEPR Discussion Papers 17720, C.E.P.R. Discussion Papers.
- Peijnenburg, Kim & Nijman, Theo & Werker, Bas J.M., 2016.
"The annuity puzzle remains a puzzle,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 18-35.
- Peijnenburg, Kim & Nijman, Theo & Werker, Bas J. M., 2016. "The annuity puzzle remains a puzzle," Other publications TiSEM 011232cd-6c91-4c59-8bc6-6, Tilburg University, School of Economics and Management.
- Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
- Francisco Gomes & Alexander Michaelides & Yuxin Zhang, 2022.
"Tactical Target Date Funds,"
Management Science, INFORMS, vol. 68(4), pages 3047-3070, April.
- Gomes, Francisco & Michaelides, Alexander & Zhang, Yuxin, 2018. "Tactical Target Date Funds," CEPR Discussion Papers 13019, C.E.P.R. Discussion Papers.
- Holger Kraft & Claus Munk, 2011. "Optimal Housing, Consumption, and Investment Decisions over the Life Cycle," Management Science, INFORMS, vol. 57(6), pages 1025-1041, June.
- Inkmann, Joachim, 2024. "Aggregate portfolio choice," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Romain Deguest & Lionel Martellini & Vincent Milhau, 2018. "A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems," Management Science, INFORMS, vol. 64(9), pages 4333-4347, September.
- Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
- Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
- Otto Van Hemert, 2010. "Household Interest Rate Risk Management," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(3), pages 467-505, September.
- Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009.
"Mortgage timing,"
Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
- Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc.
- Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.
- Nick Draper & Casper Ewijk & Marcel Lever & Roel Mehlkopf, 2014. "Stochastic Generational Accounting Applied to Reforms of Dutch Occupational Pensions," De Economist, Springer, vol. 162(3), pages 287-307, September.
- Bart Dees & Theo Nijman & Arthur Soest, 2023. "Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models," De Economist, Springer, vol. 171(3), pages 267-302, September.
- Bram Wouterse & Arjen Hussem & Albert Wong, 2022. "The risk protection and redistribution effects of long‐term care co‐payments," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(1), pages 161-186, March.
- Thomas Post & Helmut Gründl & Joan T. Schmit & Anja Zimmer, 2014. "The Impact of Investment Behaviour for Individual Welfare," Economica, London School of Economics and Political Science, vol. 81(321), pages 15-47, January.
- Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2019. "Hedging recessions," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
- Eric Jondeau & Michael Rockinger, 2019. "Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(8), pages 2239-2291, December.
- Huang, Tiancheng & Khemka, Gaurav & Chong, Wing Fung, 2024. "Monotonicity of savings function in Endogenous Gridpoint Method with stochastic portfolio returns," Economics Letters, Elsevier, vol. 239(C).