1st Quarter (2012)

Sharon Hill and Chris Gowlland Modern portfolio theory suggests that investors can achieve maximum diversification holding a portfolio of risky assets reflecting the entire market, but no generally accepted method exists to construct such a portfolio. We present data on global equities and global fixed-income securities since 1990, and show that the relative weights of… Read more

Hany Guirguis, Ted Theodore and Michael Suen We construct and test a popular indicator for timing value style investment: the earnings yield dispersion (EYD). Conventional wisdom holds that one should invest in value style when there is a wide dispersion in earnings yield (E/P ratios) across the equity market. This hypothesis is based on a… Read more

Zvi Bodie, Jérôme Detemple and Marcel Rindisbacher This paper explores the optimal design of personal pensions based on the economic theory of the life cycle. It assumes that individuals derive utility from consumption of goods and leisure and that at some date they retire and stop earning income from labor. The existence of this retirement… Read more