Annuities, Bequests, and Portfolio Diversification

Econometrics and Metaheuristic Optimization Approaches to International Portfolio Diversification

Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...

Transfers and bequests: a portfolio analysis in a Nash game

This paper develops a two-stage non-cooperative Nash game framework of parental–children interactions to explain the equal division puzzle in bequests. In the analysis, a portfolio approach is adopted for characterizing how altruistic parents allocate their inheritable wealth between inter-vivos transfers and post-mortem bequests. The model includes elements of strategic altruism, exchange of f...

Illiquidity, Portfolio Constraints, and Diversification *

The Effects of Annuities, Bequests, and Aging in an Overlapping Generations Model of Endogenous Growth

In this paper, we examine the effects of introducing actuarially fair annuity markets into an overlapping generations model of endogenous growth. We find the complete annuitization of agents’ wealth is not, in general, dynamically optimal; that the degree of annuitization that is dynamically optimal depends nonmonotonically on the expected length of retirement and on the pay-as-you-go social se...

Loan Portfolio Diversification, Market Structure and Financial Stability of Banks

 The purpose of this study is to investigate the effect of bank loan portfolio diversification and market structure on the financial stability of banks in the countrychr('39')s capital market. In order to achieve the above goal, the financial data of 17 banks have been used as unbalanced panels in the period from 2005 to 2018. In this study, data analysis was performed using fixed effects model...