Opening book details…
Can I read Cyclical risk exposure of pension funds: A theoretical framework on EtoBox?
Cyclical risk exposure of pension funds: A theoretical framework by Francesco Menoncin is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Cyclical risk exposure of pension funds: A theoretical framework about?
We study the asset allocation problem for a pension fund, which operates in a PAYG system and periodically revises its investment strategies. If the optimal amount of wealth invested in risky assets is always positive, then during the management period the optimal portfolio is constantly riskier (less risky) than Merton's portfolio when the growth rate of workers is higher (lower) than the growth rate of pensioners. In particular, there exists a time when the risk exposure is a maximum (minimum).
Who reads Cyclical risk exposure of pension funds: A theoretical framework?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Francesco Menoncin
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-6687)
- Published
- 2005
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)