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Strategic asset allocation, asset liability management
asset pricing, portfolio construction, time-varying betas, shrinkage, panel data
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Cost of capital, ICAPM, pricing error, exchange rate exposure
strategic asset allocation, bayesian vector autoregression, parameter uncertainty
strategic asset allocation, Bayesian vector autoregression, parameter uncertainty, robust portfolio choice
Pension Funds, Asset Allocation, Portfolio Choice
Strategic asset allocation, out-of-sample analysis
Institutional Investors, Pension Funds, Asset Allocation, Portfolio Rebalancing
conditional asset pricing, time-varying risk, stock market anomalies
term structure models, parameter uncertainty, extrapolation, insurance supervision
Stock returns, Forecasting, Panel data, Industry effects, Individual effects, Time effects
Price Discovery, Tick Time models, Nasdaq, Ultra-high frequency data, Microstructure
Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure
Neural Network, Value-at-Risk, Volatility Models, Equity Returns, Risk Management
term structure of interest rates, fractional integration, affine models
Term structure of interest rates, fractional integration, affine models
Factor Models, Risk Management, Term Structure
model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall
Model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall
mortgage valuation, partial prepayments, binomial trees
Collective Defined Contribution, Funded Pension System, Overlapping Generations, Intergenerational Risk Sharing
Long-term portfolio choice, Term structure of risk, Fractional integration, Long Memory
G11, C32, long-term portfolio choice, linear processes with fractional integration, term structure of risk
Lookback Option, Life Annuity, Annuity Risk, Defined Contribution, Stochastic Discount Factor
model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model
Model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model
market integration, market efficiency, non-synchronous trading, emerging markets, Kalman filter
Market integration, non-synchronous trading, emerging markets, market efficiency, Kalman filter
Boosting, Asset Pricing Tests, Hansen-Jagannathan Distance
High-frequency data, microstructure, structural time series models
C32, F31, High-frequency data, microstructure, structural time-series models
Mean-variance, model uncertainty, portfolio choice
Purchasing power parity, panel test, numeraire, productivity
