We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the …

-variations in investment opportunities. This index helps investors determine which economic variables they should track and, more …-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging …

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the … investment. In contrast, punitive constraints, such as mandatory additional contributions from the sponsor when the plan becomes … real effects on investment behavior. For example, the current requirement to discount liabilities at a rolling average of …