Life-cycle asset allocation with annuity markets

DOI10.1016/j.jedc.2008.01.007zbMath1181.91291MaRDI QIDQ2654416

Michael Z. Stamos, Wolfram J. Horneff, Raimond H. Maurer

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.01.007

zbMATH Keywords

portfolio choice; life annuities; household finance; illiquid assets

Mathematics Subject Classification ID

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

Related Items

Longevity Risk and Capital Markets: The 2012–2013 Update, The individual life-cycle, annuity market imperfections and economic growth, Editorial: Longevity risk and capital markets: the 2013--14 update, Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection, Optimizing the equity-bond-annuity portfolio in retirement: the impact of uncertain health expenses, Ambiguous life expectancy and the demand for annuities, The annuity puzzle remains a puzzle, Longevity risk and capital markets: the 2015--16 update, Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners, Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities, A combined stochastic programming and optimal control approach to personal finance and pensions, GROWTH EFFECTS OF CONSUMPTION AND LABOR-INCOME TAXATION IN AN OVERLAPPING-GENERATIONS LIFE-CYCLE MODEL

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Annuitization and asset allocation
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• Risk aversion and allocation to long-term bonds.
• Stochastic Interest Rates and the Bond-Stock Mix
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• MARKET FRICTIONS, SAVINGS BEHAVIOR, AND PORTFOLIO CHOICE
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Household Risk Management and Optimal Mortgage Choice
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Consumption Over the Life Cycle