We show that volatility spillovers arc large enough to matter to investors. We demonstrate that standarddeviations of returns to mean-variance portfolios of European equities fall by 1-1.5% at daily, weekly, andmonthly rebalancing horizons when volatility spillovers are included in covariance...

A new explanation for the well-known reluctance of retirees to buy life annuities is due toMilevsky and Young (2002, 2003): Since the decision to purchase longevity insurance is largelyirreversible, in uncertain environments a real option to delay annuitization (RODA) generallyhas value....

We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, and the contagion imported to a tranquil domestic market from foreign...

This research studies the propensity of individuals to violate implications of expected utility maximization in allocating retirement savings within a compulsory de- �ned contribution retirement plan. The paper develops the implications and describes the construction and administration of a...