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Articles in "Research Papers"
Longevity hedging: a framework for longevity basis risk analysis and hedge effectiveness
Basis risk is an important consideration when hedging longevity risk with instruments based on longevity indices, since the longevity experience of the hedged exposure may differ from that of the index.
Updated: 22/09/2011
Comments:
Views: 4,457
Making the most of experience data – an augmented beta-binomial approach
In this paper I propose an augmentation to the beta-binomial approach which not only allows for the information contained in ages near to the age under analysis, but also for variation in risk types across the different ages.
Updated: 22/09/2011
Comments:
Views: 3,303
Back to the future: a long term solution to the occupational pensions crisis
DC schemes have some substantial weaknesses, and a continuation of current policies will probably lead to another pensions crisis in a few decades.
Updated: 22/09/2011
Comments:
Views: 3,431
Sector, region or function? A MAD reassessment of real estate diversification in Great Britain
This paper re-examines whether it is more advantageous in terms of risk reduction to diversify by sector or region by comparing the performance of the 'conventional' regional classification of the UK with one based on modern socio-economic criteria using a much larger real estate data set than any previous study and the MAD portfolio approach.
Updated: 24/10/2011
Comments:
Views: 3,774
The Changing Benefit of REITs to the Mixed-Asset Portfolio
A number of studies have examined the allocation of public real estate securities (REITs) in the mixed-asset portfolio. Yet no study has explicitly examined what are the benefits REITs offer to the traditional capital market only mixed-asset portfolio, i.e. whether REITs are a return enhancer, diversifier, or both?
Updated: 24/10/2011
Comments:
Views: 3,935
Private real estate: risk diversifier, return enhancer or both?
A number of studies in the US have examined the optimum allocation of real estate in the mixed-asset portfolio and find that a large allocation to real estate can be justified.
Updated: 24/10/2011
Comments:
Views: 3,746
The Benefits of Public and Private Real Estate
There is extant literature showing that private real estate has a major part to play in the mixed-asset portfolio. There is also a good deal of evidence showing that Real Estate Investment Trusts (REITs) make a substantial contribution to the mixed-asset portfolio.
Updated: 24/10/2011
Comments:
Views: 2,763
An economic geography of real estate investment in England and Wales
There has been something of a debate about the thinking that prescribes the decisions to develop or invest in real estate in particular locations in the UK, and how this has continued to dictate the location of such investment.
Updated: 22/09/2011
Comments:
Views: 3,078
European real estate market convergence
This paper uses the concepts of Beta-convergence and Sigma-convergence to evaluate empirically the hypothesis of rent and yield convergence in seven European office markets during the period 1982-2009.
Updated: 24/10/2011
Comments:
Views: 3,696
Timing in business model and product market strategy tradeoffs: performance implications
I examine the contingent effects of business model design and product market strategy in Technology-Based Firms and their dual antithetical performance implications.
Updated: 22/09/2011
Comments:
Views: 3,898
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