In the context of a dynamic capital structure model with stochastic interest and inflation rates, we obtain analytical expressions for the price of, and optimal allocation to, various forms of liabilities classes, namely fixed-rate bonds, floating-rate bonds and inflation-indexed bonds, in...

To supplement replacement income provided by Social Security and employer­sponsored pension plans, individuals need to rely on their own saving and investment choices during accumulation. Once retired, they must also decide at which rate to spend their savings, with the usual dilemma between...