Global Asset Return in Pension Funds: a dynamical risk analysis
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- Jacob A. Bikker & Dirk W.G.A. Broeders & Dirk Jan de Dreu, 2010.
"Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing?,"
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- J.A. Bikker & D.W.G.A Broeders & J. de Dreu, 2007. "Stock Market Performance and Pension Fund Investment Policy: Rebalancing, Free Float, or Market Timing," Working Papers 07-27, Utrecht School of Economics.
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- repec:eee:finlet:v:22:y:2017:i:c:p:20-29 is not listed on IDEAS
- M. Cadoni & R. Melis & A. Trudda, 2012. "Financial crisis: a new measure for risk of pension funds assets," Working Paper CRENoS 201231, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
More about this item
KeywordsPension Funds; risk control; multifractional Brownian motion;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
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