As pension plans in the U.S. and other countries shift from defined benefit to defined contribution plans, employees are being asked to bear investment risk formerly borne by employers and/or governments. Using a simulation model, this paper examines the performance of alternative investment...

This paper examines individual asset-allocation behavior using data from a unique survey containing information on the composition of the respondents' total asset holdings both inside and outside of their retirement accounts. We find that individual asset allocations are consistent with the...

The bond portfolio problem is viewed as a multistage decision problem in which buy, sell, and hold decisions are made at successive (discrete) points in time. Normative models of this decision problem tend to become very large, particularly when its dynamic structure and the uncertainty of...

This paper presents a forecasting technique which attempts to combine the advantages of both time series analysis and multiple regression. In this two-stage technique, an exponentially smoothed moving average model is used to forecast values of the dependent variable and/or selected independent...