Katarzyna Romaniuk

My CV

Research interests

Broad research areas:

investments; corporate finance; pensions; taxes

Main area of specialization:

continuous-time finance

     -with an emphasis on portfolio theory

     -often applied to issues in pension economics and finance

Publications

(11) Romaniuk, K., 2021. Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy. Quarterly Review of Economics and Finance 82, 37-43.

(10) Romaniuk, K., 2020. Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan? Decisions in Economics and Finance 43, 229-249.

(9) Romaniuk, K., 2019. Premiums of the Pension Benefit Guarantee Corporation and risk-taking by pension plans. Quarterly Review of Economics and Finance 74, 301-307.

(8) Romaniuk, K., 2018. A simple rule to determine the usefulness of the paygo system on diversification grounds. Quarterly Review of Economics and Finance 67, 282-284.

(7) Romaniuk, K., 2017. Call-option compensation and the manager’s intertemporal risk-taking behavior. Quantitative Finance 17, 157-164.

(6) Romaniuk, K., 2013. Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? Annals of Finance 9 (4), 573-588.

(5) Romaniuk, K., 2010. The options embedded within pension plans: types, valuation principles and effects on optimal investment policies. Bankers, Markets & Investors (formerly Banque et Marchés) 107, 56-66. 

(4) El Mekkaoui, N., Romaniuk, K., 2008. The investment policy of Canadian pension funds: evolution and current issues. Banque et Marchés 97, 43-50. 

(3) Romaniuk, K., 2008. A new approach for modelling and understanding optimal monetary policy. Economics Letters 100 (1), 13-15. 

(2) Romaniuk, K., 2007. The optimal asset allocation of the main types of pension funds: a unified framework. Geneva Risk and Insurance Review 32 (2), 113-128.

 (1) Romaniuk, K., 2006. What if the Fed increased the weight of the stock price gap in its reaction function? Journal of Policy Modeling 28 (7), 725-737.

Working papers

(12) “Optimal pension risk transfers: Do (almost) never opt for a partial risk transfer”

(11) “Pension risk transfers: What ethics tell us about the necessary amendments to the regulation”

(10) “Risk taxes and their effects on risk-taking: Are risk taxes able to tax returns to risk bearing?” 

(9) “To risk-shift or not to risk-shift? The dilemma faced by firms near distress”

(8) “Optimal portfolio in corporate pension plans: risk shifting and risk management”

(7) “Optimal corporate investment and financing policies: a simple quantitative rule in a novel general setting” 

(6) “The optimal investment policy for the Pension Benefit Guaranty Corporation” 

(5) “The optimal alternative to the delta hedge in the Black and Scholes (1973)’s world”

(4) “A financial approach to optimal interest rate rules: multiple objectives and asymmetries” (with R. Vranceanu)

(3) “What about the theoretical optimal asset allocation policy of pension funds in practice? The case of the United States” (with N. El Mekkaoui de Freitas)

 (2) “A review of the options embedded within pension plans”

(1) “Pareto improving transition from a pay-as-you-go to a fully funded pension system in a model of endogenous growth: the impact of uncertainty”