Essays on asset pricing

R.S.J. Koijen

Research output: ThesisDoctoral ThesisScientific

337 Downloads (Pure)

Abstract

This dissertation contains six studies on asset pricing. It analyzes questions related to life-cycle portfolio choice in the presence of time-varying bond risk premia, annuity risk management, delegated and decentralized investment management, return predictability, and mortgage choice. The first three chapters examine normative portfolio and annuity choice problems. The common theme in the last three papers is to impose the restrictions following from economic theory in estimation. This enhances not only the efficiency of the estimates, but also deepens our understanding of the dynamics of asset prices and of the behavior of economic agents in financial markets.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Nijman, Theo, Promotor
  • Werker, Bas, Promotor
Award date16 Apr 2008
Place of PublicationTilburg
Publisher
Print ISBNs9789056682125
Publication statusPublished - 2008

Fingerprint

Asset pricing
Annuities
Mortgage choice
Investment management
Financial markets
Risk management
Time-varying
Life cycle
Economics
Asset prices
Return predictability
Economic theory
Portfolio choice
Risk premia

Cite this

Koijen, R. S. J. (2008). Essays on asset pricing. Tilburg: CentER, Center for Economic Research.
Koijen, R.S.J.. / Essays on asset pricing. Tilburg : CentER, Center for Economic Research, 2008. 338 p.
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author = "R.S.J. Koijen",
year = "2008",
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isbn = "9789056682125",
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publisher = "CentER, Center for Economic Research",
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}

Koijen, RSJ 2008, 'Essays on asset pricing', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on asset pricing. / Koijen, R.S.J.

Tilburg : CentER, Center for Economic Research, 2008. 338 p.

Research output: ThesisDoctoral ThesisScientific

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AB - This dissertation contains six studies on asset pricing. It analyzes questions related to life-cycle portfolio choice in the presence of time-varying bond risk premia, annuity risk management, delegated and decentralized investment management, return predictability, and mortgage choice. The first three chapters examine normative portfolio and annuity choice problems. The common theme in the last three papers is to impose the restrictions following from economic theory in estimation. This enhances not only the efficiency of the estimates, but also deepens our understanding of the dynamics of asset prices and of the behavior of economic agents in financial markets.

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Koijen RSJ. Essays on asset pricing. Tilburg: CentER, Center for Economic Research, 2008. 338 p. (CentER Dissertation Series).