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Strategic Asset Allocation for Pension Plans
16 references·8 citing·51 second hop
Strategic Asset Allocation for Pension Plans (2006)Strategic Asset Allocation for Pension Pl…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Bond Risk Premia (2005)Bond Risk PremiaAn econometric model of serial correlation and illiquidity in hedge fund returns (2004)An econometric model of seria…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice (1993)The Effect of Errors in Means…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…The World Price of Covariance Risk (1991)The World Price of Covariance…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Recursive Preferences, the Value of Life, and Household Finance (2020)Recursive Preferences, the Va…Using a Life Cycle Model to Evaluate Financial Literacy Program Effectiveness (2015)Using a Life Cycle Model to E…Corporate Pension Plans (2014)Corporate Pension PlansIntergenerational Risk Sharing in Time-Consistent Funded Pension Schemes (2011)Intergenerational Risk Sharin…Managing Investment Risk in Defined Benefit Pension Funds (2010)Managing Investment Risk in D…Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans (2007)Risk Shifting versus Risk Man…Optimal Asset Allocation in Asset Liability Management (2007)Optimal Asset Allocation in A…Optimal Asset Allocation in Asset Liability Management (2006)Optimal Asset Allocation in A…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)How Sovereign Is Sovereign Credit Risk? (2011)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Options, Futures and Other Derivatives (2003)The Strategic and Tactical Value of Commodity Futures (2006)The Fundamentals of Commodity Futures Returns (2012)Financialization of Commodity Markets (2013)“Options, Futures, and Other Derivatives” (2016)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)
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References

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  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
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  • 2006Facts and Fantasies about Commodity Futures1,389 cited
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  • 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice1,158 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 2004

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An econometric model of serial correlation and illiquidity in hedge fund returns
1,000 cited

Cited by

  • 2010Managing Investment Risk in Defined Benefit Pension Funds39 cited
  • 2007Optimal Asset Allocation in Asset Liability Management39 cited
  • 2006Optimal Asset Allocation in Asset Liability Management36 cited
  • 2014Corporate Pension Plans35 cited
  • 2011Intergenerational Risk Sharing in Time-Consistent Funded Pension Schemes18 cited
  • 2015Using a Life Cycle Model to Evaluate Financial Literacy Program Effectiveness18 cited
  • 2020Recursive Preferences, the Value of Life, and Household Finance18 cited
  • 2007Risk Shifting versus Risk Management: Investment Policy in Corporate Pension Plans17 cited