Search
Feedback
About UniCat 
Help
News
| Listing 1 - 10 of 15 | << page >> |
Sort by
|
ISBN: 9780321127204 032112720X Year: 2008 Publisher: London: Prentice Hall,
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Capital assets pricing model --- Securities --- Capital assets pricing model. --- Securities. --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities law --- Underwriting --- Investments --- Investment banking --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Law and legislation --- Mathematical models --- Capital structure --- Prices
Book
Year: 2010 Publisher: Cambridge, Mass. National Bureau of Economic Research
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Book
Year: 1991 Publisher: Cambridge, Mass. National Bureau of Economic Research
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Book
Year: 1990 Publisher: Cambridge, Mass. National Bureau of Economic Research
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Digital
Year: 2010 Publisher: Cambridge, Mass. National Bureau of Economic Research
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations are derived when pension fund management maximize the utility of wealth of a representative taxpayer or when pension fund management maximize their own utility of compensation. The model's implications are examined using annual data on the portfolio allocations and plan characteristics of 125 state pension funds over the 2000 to 2009 period. Consistent with agency behavior by public pension fund management, we find evidence that funds chose greater overall asset – liability portfolio risk following periods of relatively poor investment performance. In addition, pension plans that select a relatively high rate with which to discount their liabilities tend to choose riskier portfolios. Moreover, consistent with a desire to gamble for higher benefits, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees.
Book
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Book
Year: 1990 Publisher: Washington, D.C. International Monetary Fund
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Digital
Year: 2015 Publisher: Cambridge, Mass. National Bureau of Economic Research
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
We argue that the appropriate discount rate for pension liabilities depends on the objective. In particular, if the objective is to measure pension under- or over- funding, a default-free discount rate should always be used, even if the liabilities are themselves not default-free. If, instead, the objective is to determine the market value of pension benefits, then it is appropriate that discount rates incorporate default risk. We also discuss the choice of a default-free discount rate. Finally, we show how cost-of-living adjustments (COLAs) that are common in public pensions can be accounted for and valued in this framework.
Book
Year: 1992 Publisher: Chicago, Ill. Federal Reserve Bank of Chicago
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Book
Year: 1991 Publisher: Cambridge, Mass. National Bureau of Economic Research
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate them. In this paper we study the existence and optimal design of composite securities. We first show that when some investors possess inside information, composite securities are not redundant. By holding composite securities, uninformed investors with unexpected needs to trade can reduce their expected losses to insiders. The existence of these securities will affect real investment decisions. We then show that when uniformed investors are heterogeneous with respect to nontradeable endowment risk, the size of such clienteles determines whether the portfolio for a liquidity trader consists of a clientele-specific composite or a single market composite combined with individual security holdings. In the latter case, markets for the composite security and its component securities coexist. No results depend on the existence of exogenous "noise" traders.
Rate of return --- Rational expectations (Economic theory) --- Mathematical models. --- Securities
| Listing 1 - 10 of 15 | << page >> |
Sort by
|