The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we try to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness and...

In this contribution we present an empirical study that focuses the relationship between risk and return for a universe of insurance stocks in Germany during the period 1975-1998. The study is motivated by the use of a multi factor model. The proportion of explained variance ranges from 9,29% to...

Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk...

This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the...

Due to the recent downturn of international equity markets the interest in real estate investments has soared. However, the well know problems of direct real estate investments complicate becoming well diversified with this investment class. Securitised forms of real estate investment can...

Social Security rules that determine retirement, spousal, and survivor benefits, along with benefit adjustments according to the age at which these are claimed, open up a complex set of financial options for household decisions. These rules influence optimal household asset allocation,...