As a result of population ageing and declining fertility, the UK state pension system is unlikely to continue to be able to deliver the current level of pensions without some combination of a higher state pension age and a steady inflow of young immigrant workers from abroad. However, with...

Using data for the United Kingdom, the author shows that investors in six different wealth ranges hold mean-variance efficient portfolios of financial assets. This result permits him to estimate coefficients of relative risk aversion for investors in each wealth range. The author finds that...

This paper applies an extended and generalised version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock market. The focus of the analysis is to simulate investors' search in "real time" for a model that can forecast stock returns. We find evidence of...

This paper presents evidence of persistent 'bull' and 'bear' regimes in UK stock and bond returns and considers their economic implications from the perspective of an investor's portfolio allocation. We find that the perceived state probability has a large effect on the optimal asset allocation,...

We analyse the equilibrium consequences of performance-based contracts for fund managers. Managerial remuneration is tied to a fund's absolute and relative performance. Investors choose whether or not to delegate their investment to better-informed fund managers; if they delegate they choose the...

Rational expectations are frequently justified as the point of convergence of agents' learning process. When agents' learning feeds back on the actual law of motion of the economy convergence of their rule to a rational expectations equilibrium (REE) is not guaranteed however. Applying new...