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When can life cycle investors benefit from time-varying bond risk premia?

Koijen, Ralph S. J.; Nijman, Theodore E.; Werker, Bas J. M. - In: The review of financial studies 23 (2010) 2, pp. 741-780

Persistent link: https://www.econbiz.de/10003941685

When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?

Koijen, Ralph S. J. - 2010

We study the importance of time-varying bond risk premia in a consumption and portfolio-choice problem for a life-cycle investor facing short-sales and borrowing constraints. Tilts in the optimal asset allocation in response to changes in bond risk premia exhibit pronounced life-cycle patterns....

Persistent link: https://www.econbiz.de/10013148433

Currency hedging for international stock portfolios : a general approach

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1999

Persistent link: https://www.econbiz.de/10001450569

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1997

Persistent link: https://www.econbiz.de/10000969024

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1998

Persistent link: https://www.econbiz.de/10000978825

Testing for spanning with futures contracts and nontraded assets : a general approach

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1996

Persistent link: https://www.econbiz.de/10000944513

Estimation and testing in models containing both jumps and conditional heteroscedasticity

Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10001244002

Currency hedging for international stock portfolios : a general approach

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 2000

Persistent link: https://www.econbiz.de/10001600551

On the empirical evidence of mutual fund strategic risk taking

Goriaev, Aleksej P. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001553991

Currency hedging for international stock portfolios : the usefulness of mean-variance analysis

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of banking & finance 27 (2003) 2, pp. 327-349

Persistent link: https://www.econbiz.de/10001721811

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