Essays on pension finance and dynamic asset allocation

R. Dai

Research output: ThesisDoctoral ThesisScientific

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Abstract

This thesis addresses a few topics in pension finance and dynamic asset allocation, including: (i) the quality of pension profile of condition indexation schemes from a life-cycle investment perspective; (ii) the valuation of conditionally indexed pension liabilities in the framework of market valuation; (iii) the optimal consumption and portfolio decision in a setting where expected returns on stocks are time-varying, but unobservable; and (iv) how to include the asset class of commodities into the traditional portfolio of stocks and bonds by investigating the implications of commodity return predictability arising from mean-reverting commodity prices.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Schumacher, Hans, Promotor
Award date21 Jun 2010
Place of PublicationTilburg
Publisher
Print ISBNs9789056682569
Publication statusPublished - 2010

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Dynamic asset allocation
Finance
Pensions
Commodities
Liability
Optimal portfolio
Time-varying
Life cycle
Assets
Return predictability
Commodity prices
Mean-reverting
Indexation
Optimal consumption
Market valuation
Expected returns

Cite this

Dai, R. (2010). Essays on pension finance and dynamic asset allocation. Tilburg: CentER, Center for Economic Research.
Dai, R.. / Essays on pension finance and dynamic asset allocation. Tilburg : CentER, Center for Economic Research, 2010. 143 p.
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Dai, R 2010, 'Essays on pension finance and dynamic asset allocation', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on pension finance and dynamic asset allocation. / Dai, R.

Tilburg : CentER, Center for Economic Research, 2010. 143 p.

Research output: ThesisDoctoral ThesisScientific

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N2 - This thesis addresses a few topics in pension finance and dynamic asset allocation, including: (i) the quality of pension profile of condition indexation schemes from a life-cycle investment perspective; (ii) the valuation of conditionally indexed pension liabilities in the framework of market valuation; (iii) the optimal consumption and portfolio decision in a setting where expected returns on stocks are time-varying, but unobservable; and (iv) how to include the asset class of commodities into the traditional portfolio of stocks and bonds by investigating the implications of commodity return predictability arising from mean-reverting commodity prices.

AB - This thesis addresses a few topics in pension finance and dynamic asset allocation, including: (i) the quality of pension profile of condition indexation schemes from a life-cycle investment perspective; (ii) the valuation of conditionally indexed pension liabilities in the framework of market valuation; (iii) the optimal consumption and portfolio decision in a setting where expected returns on stocks are time-varying, but unobservable; and (iv) how to include the asset class of commodities into the traditional portfolio of stocks and bonds by investigating the implications of commodity return predictability arising from mean-reverting commodity prices.

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Dai R. Essays on pension finance and dynamic asset allocation. Tilburg: CentER, Center for Economic Research, 2010. 143 p. (CentER Dissertation Series).