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The Term Structure of the Risk-Return Tradeoff

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Cited by:

  1. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
  2. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  3. Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021. "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
  4. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
  5. Yvonne Adema & Jan Bonenkamp & Lex Meijdam, 2011. "Retirement Flexibility and Portfolio Choice in General Equilibrium," Tinbergen Institute Discussion Papers 11-038/2/DSF13, Tinbergen Institute.
  6. Hoevenaars, J. & Ponds, E.H.M., 2008. "Valuation of intergenerational transfers in collective funded pension schemes," Other publications TiSEM 2c1afa01-df29-490e-bc52-8, Tilburg University, School of Economics and Management.
  7. Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011. "Retirement Flexibility and Portfolio Choice," Discussion Paper 2011-077, Tilburg University, Center for Economic Research.
  8. Jakub W. Jurek & Luis M. Viceira, 2011. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, vol. 15(1), pages 29-74.
  9. Joseph E. Gagnon & Matthew Raskin & Julie Remache & Brian P. Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, vol. 17(May), pages 41-59.
  10. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
  11. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
  12. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
  13. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  14. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
  15. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  16. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
  17. Gonzalez-Eiras, Marti­n & Niepelt, Dirk, 2008. "The future of social security," Journal of Monetary Economics, Elsevier, vol. 55(2), pages 197-218, March.
  18. Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
  19. Kole, Erik & van Dijk, Dick, 2023. "Moments, shocks and spillovers in Markov-switching VAR models," Journal of Econometrics, Elsevier, vol. 236(2).
  20. Gonzales-Eiras, Martín & Niepelt, Dirk, 2004. "Sustaining Social Security," Seminar Papers 731, Stockholm University, Institute for International Economic Studies.
  21. Eduardo Walker, 2008. "Assessing Alternative Institutional Designs For Investment Regulation In Defined Contribution Pension Funds," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 11(2), pages 121-152.
  22. Arjan Berkelaar & Roy Kouwenberg, 2011. "A Liability-Relative Drawdown Approach to Pension Asset Liability Management," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 14, pages 352-382, Palgrave Macmillan.
  23. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3382-3398.
  24. , & Gonzalez-Eiras, Martin, 2007. "Population Ageing, Government Budgets, and Productivity Growth in Politico-Economic Equilibrium," CEPR Discussion Papers 6581, C.E.P.R. Discussion Papers.
  25. Li, Jing & Davis, George, 2017. "Rethinking cointegration and the expectation hypothesis of the term structure," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 177-189.
  26. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 292-308.
  27. 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.
  28. Huang, Qiubin & de Haan, Jakob & Scholtens, Bert, 2020. "Does bank capitalization matter for bank stock returns?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  29. Cedric Okou & Eric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
  30. J François Outreville, 2010. "The Geneva Risk and Insurance Review 2009: In Quest of Behavioural Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 35(3), pages 484-497, July.
  31. Bianchi, Daniele & Tamoni, Andrea, 2016. "The dynamics of expected returns: evidence from multi-scale time series modelling," LSE Research Online Documents on Economics 118992, London School of Economics and Political Science, LSE Library.
  32. Zygimantas Meskauskas & Egidijus Kazanavicius, 2022. "About the New Methodology and XAI-Based Software Toolkit for Risk Assessment," Sustainability, MDPI, vol. 14(9), pages 1-15, May.
  33. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department.
  34. Olivier Davanne & Thierry Pujol, 2005. "Allocation d’actifs, variation des primes de risque et benchmarks," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 95-111.
  35. David Schröder, 2013. "Asset allocation in private wealth management: Theory versus practice," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 162-181, June.
  36. Lans Bovenberg & Theo Nijman, 2009. "Developments in pension reform: the case of Dutch stand-alone collective pension schemes," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 16(4), pages 443-467, August.
  37. Fischer, Katharina & Schlütter, Sebastian, 2012. "Optimal investment strategies for insurance companies in the presence of standardised capital requirements," ICIR Working Paper Series 09/12, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  38. Ilja Boelaars & Dirk Broeders, 2019. "Fair Pensions," DNB Working Papers 630, Netherlands Central Bank, Research Department.
  39. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
  40. Okou, Cédric & Jacquier, Éric, 2016. "Horizon effect in the term structure of long-run risk-return trade-offs," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 445-466.
  41. Shab Hundal & Annika Sandstrom & Assel Uskumbayeva, 2018. "The Impact Of The Financial Crisis On Corporate Capital Structure Dynamics In The Nordic Countries," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 6(3), pages 34-51.
  42. Youngjun Yoon, 2010. "Glide path and dynamic asset allocation of target date funds," Journal of Asset Management, Palgrave Macmillan, vol. 11(5), pages 346-360, December.
  43. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
  44. Peter Broer, 2012. "Social Security and Macroeconomic Risk in General Equilibrium," CPB Discussion Paper 221, CPB Netherlands Bureau for Economic Policy Analysis.
  45. Hoevenaars, Roy P.M.M. & Ponds, Eduard H.M., 2008. "Valuation of intergenerational transfers in funded collective pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 578-593, April.
  46. Roar Adland & Haakon Ameln & Eirik A. Børnes, 2020. "Hedging ship price risk using freight derivatives in the drybulk market," Journal of Shipping and Trade, Springer, vol. 5(1), pages 1-18, December.
  47. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
  48. Hoevenaars, Roy P.M.M. & Molenaar, Roderick D.J. & Schotman, Peter C. & Steenkamp, Tom B.M., 2008. "Strategic asset allocation with liabilities: Beyond stocks and bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2939-2970, September.
  49. Peter Broer, 2012. "Social Security and Macroeconomic Risk in General Equilibrium," CPB Discussion Paper 221.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  50. 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).
  51. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing for the Long-run in European Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 35-80, January.
  52. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
  53. Julián Andrada-Félix & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2022. "Time connectedness of fear," Empirical Economics, Springer, vol. 62(3), pages 905-931, March.
    • Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018. "“Time connectedness of fear”," IREA Working Papers 201818, University of Barcelona, Research Institute of Applied Economics, revised Sep 2018.
  54. Garry L. Shelley & Anca Traian & William J. Trainor Jr., 2020. "Stock market "prediction" models," Economics Bulletin, AccessEcon, vol. 40(2), pages 1548-1556.
  55. Brunner, Gregory & Hinz, Richard & Rocha, Roberto, 2008. "Risk-based supervision of pension funds : a review of international experience and preliminary assessment of the first outcomes," Policy Research Working Paper Series 4491, The World Bank.
  56. Andrea Rigamonti & Alex Weissensteiner, 2020. "Asset allocation under predictability and parameter uncertainty using LASSO," Computational Management Science, Springer, vol. 17(2), pages 179-201, June.
  57. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
  58. Martin Schans & Hens Steehouwer, 2017. "Time-Dependent Black–Litterman," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 371-387, September.
  59. Aleksandar Murdzhev & Marc Tomljanovich, 2006. "What Color is Alan Greenspan's Tie? How Central Bank Policy Announcements Have Changed Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 571-593, Fall.
  60. 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.
  61. Dahlquist, Magnus & Tédongap, Roméo & Farago, Adam, 2015. "Asymmetries and Portfolio Choice," CEPR Discussion Papers 10706, C.E.P.R. Discussion Papers.
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