Abstract
| Original language | English |
|---|---|
| Qualification | Doctor of Philosophy |
| Awarding Institution |
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| Supervisors/Advisors |
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| Award date | 16 Apr 2008 |
| Place of Publication | Tilburg |
| Publisher | |
| Print ISBNs | 9789056682125 |
| Publication status | Published - 2008 |
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Essays on asset pricing. / Koijen, R.S.J.
Tilburg : CentER, Center for Economic Research, 2008. 338 p.Research output: Thesis › Doctoral Thesis › Scientific
TY - THES
T1 - Essays on asset pricing
AU - Koijen, R.S.J.
PY - 2008
Y1 - 2008
N2 - 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.
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.
M3 - Doctoral Thesis
SN - 9789056682125
T3 - CentER Dissertation Series
PB - CentER, Center for Economic Research
CY - Tilburg
ER -