In this paper we study the transition from a pay-as-you-go system of Social Security pensions to an investment-based system in an economy in which portfolio returns and capital profitability are both uncertain. The paper extends earlier studies by Feldstein and Samwick that modeled the...

In this paper we study the transition from a pay-as-you-go system of Social Security pensions to an investment-based system in an economy in which portfolio returns and capital profitability are both uncertain. The paper extends earlier studies by Feldstein and Samwick that modeled the...

As the hedge fund industry has grown over the last decade, alpha has become more elusive. This paper examines several properties of the U.S. small-cap equity market and identifies a number of structural inefficiencies that may be exploited to generate alpha.We show that small-cap equities are...