Using a calibrated OLG model with several sources of uncertainty we find that the impact of ageing and of reform of social security upon the demand for housing and the level of owner occupation is substantial. The overall structure of household asset holdings in particular the split between real and financial assets is sensitive to demographics and to the generosity of state run, pay-as-yougo p...

Despite the size and importance of separately managed accounts (SMAs) and collective investment trusts, their characteristics and performance have not been studied in detail. We show that separate account performance is similar to that of index funds and superior to that of actively managed mutual funds. Management supplies a benchmark for each separate account. When the management-selected ben...

In this paper, we study the potential of stocks as a hedge against inflation for different investment horizons. We show that stocks can be a hedge against inflation even if stock returns are negatively correlated with unexpected inflation shocks, and only moderately positively related to expected inflation. Depending on the investment horizon, the optimal hedge ratio can be either positive or n...

The most natural way of ordering portfolios is by comparing their payoffs. A portfolio with payoff higher than the payoff of another portfolio is greater in the sense of portfolio dominance than that other portfolio. Portfolio dominance is a lattice order if the supremum and the infimum of any two portfolios are well-defined. We study security markets with infinitely many securities and arbitra...

This paper aims at assessing the optimal behavior of a firm facing stochastic costs of production. In an imperfectly competitive setting, we evaluate to what extent a firm may decide to locate part of its production in other markets different from which it is actually settled. This decision is taken in a stochastic environment. Portfolio theory is used to derive the optimal solution for the int...

The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for academic researchers for managers of financial, banking and investment institutions. This paper proposes ...

We perform a structural estimation of the preference parameters in a buffer-stock consumption model augmented with temptation disutility. We adopt a two-stage Method of Simulated Moments methodology to match our simulated moments with those observed in the US Survey of Consumer Finances. To identify the parameters we use liquid and quasi-liquid (retirement) wealth holdings at different ages as ...

We introduce a money demand motive in a life-cycle portfolio choice model and estimate the structural parameters that can generate limited stock market participation and plausible holdings of money, bonds and stocks. The model predicts an increase in bond holdings over the life cycle, and a declining share of money in portfolios as wealth increases. Both predictions are consistent with the data...

Motivated by the growing literature on volatility options and their imminent introduction in major exchanges, this paper proposes a new model that prices option contracts on volatility. To the best of our knowledge, the impact of volatility jumps in the valuation of volatility options has not yet been studied. The objective of this paper is to fill in this gap in the volatility derivatives lite...

This paper develops a framework for the design of optimal structured products (equityor index-linked notes) allowing us to analyze the maximal utility gain for an investor that can be achieved by introducing structured products. We demonstrate with data from three of the largest markets for structured products (USA, Germany and Switzerland) that most of the successful structured products are no...