Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Thorp, SJ"'
Autor:
Silvennoinen, A, Thorp, SJ
Stronger investor interest in commodities may create closer integration with conventional asset markets. We estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variable
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::c128be898cfebd1d3a4f0e7dab720c4c
https://hdl.handle.net/10453/23447
https://hdl.handle.net/10453/23447
Autor:
Satchell, S, Thorp, SJ
We derive expressions for optimal consumption for family trusts with random wealth and uncertain survival. Using UK birth statistics and the theory of branching processes, we compute size and survival probabilities for single- and multiple-branch fam
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::8911615dbb19a3f8a5664b6f8a4c6098
https://hdl.handle.net/10453/17486
https://hdl.handle.net/10453/17486
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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::02d86a33cf0988c6b8e2c0179452c6e0
https://hdl.handle.net/10453/13920
https://hdl.handle.net/10453/13920
Autor:
Petrichev, K, Thorp, SJ
As individual retirement savings accounts replace public pensions and defined benefit schemes, more retirees will decumulate using commercial income streams rather than public or corporate annuities. Here we use an approximation to the retirement inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::b70a2b665255874a38d740411c407935
https://hdl.handle.net/10453/9962
https://hdl.handle.net/10453/9962
Autor:
Bateman, H, Thorp, SJ
The new Simplified Superannuation regulations for Australian superannuation provide tax concessions to retirement income streams which comply with legislated minimum drawdown rules. We evaluate these new drawdown rules against four alternatives, incl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::3174f867c9fbe9dc7aba3fb3ce6edbe7
https://hdl.handle.net/10453/9933
https://hdl.handle.net/10453/9933
Autor:
Bateman, H, Thorp, SJ
We investigate delegated investment management in private pension accounts using data from Australian accumulation (superannuation) funds. In Australian non-profit pension funds, trustees choose investment managers on behalf of members. We find that
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::e269a5ac8cbbbce0f679d851b749badb
https://hdl.handle.net/10453/5962
https://hdl.handle.net/10453/5962
Autor:
Petrichev, K, Thorp, SJ
Governments around the world are reviewing basic pension systems in the light of increasing demands on public funds. In Australia, Government policy aims to in- crease reliance on private retirement savings and reduce demand on the targeted Age Pensi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::d7e1e323ea3a968352121e027f2c542d
https://hdl.handle.net/10453/7629
https://hdl.handle.net/10453/7629
Autor:
Thorp, SJ, Milunovich, G
Volatilities and correlations for equity markets rise more after negative returns shocks than after positive shocks. Allowing for these asymmetries in covariance forecasts decreases mean-variance portfolio risk and improves investor welfare. We compu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::b2e268297b4aa339bc64d732bfb92e9e
https://hdl.handle.net/10453/5179
https://hdl.handle.net/10453/5179