Essays on pension finance and dynamic asset allocation

R. Dai

Research output: ThesisDoctoral Thesis

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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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    Dai, R. (2010). Essays on pension finance and dynamic asset allocation. CentER, Center for Economic Research.