Essays on asset pricing

R.S.J. Koijen

Essays on asset pricing

R.S.J. Koijen

Research output: Thesis › Doctoral Thesis

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 language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	Nijman, Theo, Promotor Werker, Bas, Promotor
Award date	16 Apr 2008
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	9789056682125
Publication status	Published - 2008

Access to Document

Thesis Koijen

Fingerprint Dive into the research topics of 'Essays on asset pricing'. Together they form a unique fingerprint.

Cite this

@phdthesis{7566299429dc4a83a3ff95fa4a1d28ae,

title = "Essays on asset pricing",

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.",

author = "R.S.J. Koijen",

year = "2008",

language = "English",

isbn = "9789056682125",

series = "CentER Dissertation Series",

publisher = "CentER, Center for Economic Research",

school = "Tilburg University",

}

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 -