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Time-Varying Expected Returns and Investor
(Discussion note;1/2012, Others, 2012)What is the optimal rebalancing policy for a portfolio’s equity and bond holdings? The classical answer, building on the seminal contributions by Mossin (1968), Merton (1969, 1971), Samuelson (1969) and others, is that ... -
Well-Functioning Financial Markets
(Discussion note;13/2012, Others, 2012)In this note we discuss the theoretical foundation for well-functioning financial markets and why well-functioning financial markets are essential to reach the objective for the management of the Fund. Against this background ...