Blar i NHH Brage på emneord "portfolio choice"
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Designing social security : a portfolio choice approach
(Discussion paper, Working paper, 2001-10)Public social security systems may provide diversification of risks to individuals’ life-time income. Capturing that a pay-as-you-go program (paygo) may be considered as a “quasiasset”, we study the optimal size of the ... -
Designing social security : a portfolio choice approach
(Report, Research report, 2001-10)Public social security systems may provide diversification of risks to individuals' life-time income. Capturing that a pay-as-you-go program (paygo) may be considered as a "quasi-asset", we study the optimal size of the ... -
Does prospect theory explain the disposition effect?
(Discussion paper, Working paper, 2005-09)The disposition effect is the observation that investors hold winning stocks too long and sell losing stocks too early. A standard explanation of the disposition effect refers to prospect theory and in particular to the ... -
Dynamic portfolio optimization with transaction costs and state-dependent drift
(Working paper;2014:1, Working paper, 2014)We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ... -
Human capital, multiple income risk and social insurance
(Discussion paper, Working paper, 2008-09)We set up an OLG-model, where households both choose human capital investment and decide on investing their endogenous savings in a portfolio of riskless and risky assets, exposing them to (aggregate) wage and capital risks ... -
Intergenerational Effects of Guaranteed Pension Contracts
(Discussion paper, Working paper, 2006-09)In this paper we show that there exist an intergenerational cross-subsidization effect in guaranteed interest rate life and pension contracts as the different generations partially share the same reserves. Early generations ... -
Intergenerational risk sharing by means of pay-as-you-go : an investigation of alternative mechanisms
(Discussion paper, Working paper, 2006-06)A pay-as-you-go (paygo) pension program may provide intergenerational pooling of risks to individuals’ labor and capital income over the life cycle. By means of illuminating closed form solutions we demonstrate that the ... -
Intergenerational risk sharing by means of pay-as-you-go programs : an investigation of alternative mechanisms
(Discussion paper, Working paper, 2006-06)A pay-as-you-go (paygo) pension program may provide intergenerational pooling of risks to individuals’ labor and capital income over the life cycle. By means of illuminating closed form solutions we demonstrate that the ... -
Intergenerational risk sharing by means of pay-as-you-go programs : an investigation of alternative mechanisms
(Report, Research report, 2006-05)A pay-as-you-go (paygo) pension program may provide intergenerational pooling of risks to individuals’ labor and capital income over the life cycle. By means of illuminating closed form solutions we demonstrate that the ... -
On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
(Discussion paper, Working paper, 2006-12)This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ... -
Optimal Pension Insurance Design
(Discussion paper, Working paper, 2006-09)In this paper we provide a framework for how the traditional life and pension contracts with a guaranteed rate of return can be optimized to increase customers’ welfare. Given that the contracts have to be priced correctly, ... -
Risk Taking and Fiscal Smoothing with Sovereign Wealth Funds in Advanced Economies
(Journal article, 2019)In an economy with a sovereign wealth fund (SWF), the government may draw on the fund to supplement other government revenues. If the fund is invested in risky assets, this introduces a new stochastic element into the ... -
Wealth Taxation, Non-listed Firms, and the Risk of Entrepreneurial Investment
(Discussion paper;5/18, Working paper, 2018-04-27)How to incorporate hard-to-value assets into the wealth tax? We analyze the effect of an optimal wealth tax on risk-taking behavior and welfare when investors do not only have the standard portfolio choice with a ...