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Essays on pension finance and dynamic asset allocation

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  • Dai, R.

    (Tilburg University)

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    Abstract

    This thesis addresses a few topics in pension finance and dynamic asset allocation, including: (i) the quality of pension profile of condition indexation schemes from a life-cycle investment perspective; (ii) the valuation of conditionally indexed pension liabilities in the framework of market valuation; (iii) the optimal consumption and portfolio decision in a setting where expected returns on stocks are time-varying, but unobservable; and (iv) how to include the asset class of commodities into the traditional portfolio of stocks and bonds by investigating the implications of commodity return predictability arising from mean-reverting commodity prices.

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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:12-4054632.

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    Length: 143
    Date of creation: 2010
    Date of revision:
    Publication status: Published
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-4054632

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

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    1. Uzi Segal & Avia Spivak, 1988. "First Order Versus Second Order Risk Aversion," UCLA Economics Working Papers 540, UCLA Department of Economics.
    2. van Rooij, Maarten & Lusardi, Annamaria & Alessie, Rob J. M., 2007. "Financial literacy and stock market participation," CFS Working Paper Series 2007/27, Center for Financial Studies (CFS).
    3. Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1337-1361, June.
    4. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 63-91, March.
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