Target Date Funds (TDFs) provide retirement investors, many of whom are unsophisticated or inattentive, with age-appropriate exposures to different asset classes like stocks and bonds. To maintain exposures, TDFs trade actively against market returns, buying stock funds when the stock market...

The active money management industry has been characterized by both strong competitive pressure from passive investment vehicles and high fees. This paper investigates how the introduction of low-cost index funds affects fund company strategies. The retail mutual fund market is segmented, where...

We analyze the pricing accuracy and risk properties of the constant-elasticity-volatility (CEV) market model. It is shown that the calibration results to both caps and swaptions show small pricing errors. The whole model fit confirms the existence of strike bias in the US interest rate...