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Essays on Asset Pricing

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  • Koijen, R.S.J.

    (Tilburg University)

Abstract

This dissertation contains six studies on asset pricing. It analyzes questions related to life-cycle portfolio choice in the presence of time-varying bond risk premia, annuity risk management, delegated and decentralized investment management, return predictability, and mortgage choice. The first three chapters examine normative portfolio and annuity choice problems. The common theme in the last three papers is to impose the restrictions following from economic theory in estimation. This enhances not only the efficiency of the estimates, but also deepens our understanding of the dynamics of asset prices and of the behavior of economic agents in financial markets.

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-382981.

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Length: 338
Date of creation: 2008
Date of revision:
Publication status: Published
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-382981

Note: Dissertation
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Web page: http://www.tilburguniversity.edu/

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  1. Heng-fu Zou, 1995. "The spirit of capitalism and savings behavior," CEMA Working Papers 79, China Economics and Management Academy, Central University of Finance and Economics.
  2. Stutzer, Michael, 2003. "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 365-386.
  3. Pascal St-Amour, 2006. "Benchmarks in Aggregate Household Portfolios," Swiss Finance Institute Research Paper Series 07-09, Swiss Finance Institute.
  4. Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Acquisition and Portfolio Underdiversification," 2005 Meeting Papers 77, Society for Economic Dynamics.
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