The paper analyzes foreign exchange market volatility in four Central European EU accession
countries in 2001–2003. By using a Markov regime-switching model, it identifies two …

A framework is described for the optimal allocation of active risk among broad asset classes
or external asset managers. Unlike most risk allocation models used by practitioners, this …

Professor Robert Shiller’s cyclically adjusted price/earnings ratio (CAPE) has proven to be a
powerful descriptor, as well as a useful predictor, of long-term equity returns in the United …

There is a growing retirement crisis, and most of the focus has been on the fact that individuals
are not saving enough for retirement, may not have access to pension schemes, and find …

We discuss the potential benefits of international diversification for high grade sovereign bond
portfolios. First, we apply a CAPM-based model to the G-7 sovereign bonds and find that …

The goal of investing for retirement is to secure a target level of income that maintains the
individual’s preretirement lifestyle. Current “safe harbor” glide-path products shift investments …

Introducing uncertainty under fiscal sustainability conditions for the public debt provides a
framework for analyzing debt dynamics. Such methods are commonly used for fiscal …

The aggregate US equity market has outperformed the rest of the world over the past
decade. Additionally, correlation across equity markets of different geographic regions has …

An endowment fund serves as a permanent source of capital to support a specific mission. It
has, in the case of a university, dual goals of providing current financial support to the …

… Adam Kobor …