Essays on pension finance and dynamic asset allocation
AbstractThis 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 InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-4054632.
Date of creation: 2010
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Publication status: Published
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
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