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…
Lees meerPortfolio choice with illiquid assets
We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that…
Lees meerInflation 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…
Lees meerStock 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.…
Lees meerRisk 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…
Lees meerAre 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…
Lees meerDoes retirement affect cognitive functioning?
This paper analyzes the effect of retirement on cognitive functioning using two large scale surveys. First, a longitudinal survey among…
Lees meerAssessing 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.…
Lees meerThe consequences of indexed debt for welfare and funding ratios in the Dutch pension system
Using a model of a two-pillar pension system, designed after and calibrated to the Dutch situation, we explore for the…
Lees meerDifferentiating 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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