Pension funds, life-cycle asset allocation and performance evaluation
Adopting a life-cycle perspective, this chapter explores a number of the key methodological issues that must be resolved to include…
Read MorePortfolio choice with illiquid assets
We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that…
Read MoreInflation risk and the inflation risk premium
This article starts by discussing the concept of ‘inflation hedging’ and provides estimates of ‘inflation betas’ for standard bond and…
Read MoreStock and bond returns with moody investors
We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion.…
Read MoreRisk and return characteristics of venture capital-backed entrepreneurial companies
Valuations of entrepreneurial companies are only observed occasionally, albeit more frequently for well-performing companies. Consequently, estimators of risk and return…
Read MoreAre risk aversion and impatience related to cognitive ability?
This paper investigates whether there is a link between cognitive ability, risk aversion, and impatience, using a representative sample of…
Read MoreDoes retirement affect cognitive functioning?
This paper analyzes the effect of retirement on cognitive functioning using two large scale surveys. First, a longitudinal survey among…
Read MoreAssessing second pillar pensions for insurance companies by means of scenario analysis
This thesis compares eight different pension schemes on a number of features. The schemes are DB, DC and hybrid schemes.…
Read MorePension fund governance: The intergenerational conflict over risk and contributions
Many pension funds have a mismatch between assets and liabilities, taking more risks than securing liabilities implies. This puts fixed…
Read MoreDifferentiating indexation in Dutch pension funds
Funded social security programs are particularly vulnerable to economic and financial market shocks. As a consequence of the recent crisis,…
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