This paper studies the conjecture that investors prefer derivative markets over the equity market when hedging risks. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the stock market than in the derivatives market. We show that...

We analyze a dynamic Asset Liability Management problem with model uncertainty in a complete market. The fund manager acts in the best interest of the pension holders by maximizing the expected utility derived from the terminal funding ratio. We solve the robust multi-period Asset Liability...

We compare two contracts for managing systematic longevity risk in retirement: a collective arrangement that distributes the risk among participants, and a market-provided annuity contract. We evaluate the contracts' appeal with respect to the retiree's welfare, and the viability of the market...