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Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities
16 references·0 citing·41 second hop
Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities (2005)Betting on Death and Capital Markets in R…Determining Withdrawal Rates Using Historical Data (2007)Determining Withdrawal Rates …Annuitization and asset allocation (2007)Annuitization and asset alloc…Strategic Asset Allocation (2002)Strategic Asset AllocationProspect Theory: An Analysis of Decision under Risk (2000)Prospect Theory: An Analysis …Joint Life Annuities and Annuity Demand by Married Couples (2000)Joint Life Annuities and Annu…Coherent Measures of Risk (1999)Coherent Measures of RiskNew Evidence on the Money's Worth of Individual Annuities (1997)New Evidence on the Money's W…An Asset Allocation Puzzle (1994)An Asset Allocation PuzzleManagerial Perspectives on Risk and Risk Taking (1987)Managerial Perspectives on Ri…The Family as an Incomplete Annuities Market (1981)The Family as an Incomplete A…Managerial Risk Preferences for Below-Target Returns (1980)Managerial Risk Preferences f…Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Safety-First, Stochastic Domi…Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation (1977)Behavioral Models of Risk Tak…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Uncertain Lifetime, Life Insu…A Stochastic Programming Model (1963)A Stochastic Programming ModelCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Variable Selection for Portfolio Choice (2001)Dynamic Asset Allocation under Inflation (2002)Time Horizon, Costs of Equity Capital, and Generic Investment Strategies of Firms (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Chance Constrained Programming with Joint Constraints (1965)Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Allocation in a Downside Risk Framework (2000)Linear Programming Under Uncertainty (2004)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect theory: An analysis of decision under risk (1988)Reconceptualizing the Determinants of Risk Behavior (1992)Overconfidence and Excess Entry: An Experimental Approach (1999)A domain‐specific risk‐attitude scale: measuring risk perceptions and risk behaviors (2002)Prospect Theory: An Analysis of Decision under Risk (1979)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Household Risk Management and Optimal Mortgage Choice (2003)Predicting the Equity Premium with Dividend Ratios (2003)Dynamic Mean-Variance Asset Allocation (2010)Precautionary Saving and Social Insurance (1995)Entrepreneurship, Frictions, and Wealth (2006)Monetary Policy According to HANK (2018)Motivations to Remit: Evidence from Botswana (1985)Motives for Private Income Transfers (1987)Consumption Inequality and Partial Insurance (2008)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Decision Rules and Maximum Initial Withdrawal Rates (2006)Following the rules: Integrating asset allocation and annuitization in retirement portfolios (2007)Optimal consumption and portfolio choice for pooled annuity funds (2007)Linking Measured Risk Aversion to Individual Characteristics (2002)Long–Term Orientation and Intertemporal Choice in Family Firms (2011)What you Should Know about Megaprojects and Why: An Overview (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1965Uncertain Lifetime, Life Insurance, and the Theory of the Consumer3,204 cited
  • 1987Managerial Perspectives on Risk and Risk Taking3,198 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 2000Prospect Theory: An Analysis of Decision under Risk922 cited
  • 1981The Family as an Incomplete Annuities Market640 cited
  • 1963A Stochastic Programming Model575 cited
  • 1994An Asset Allocation Puzzle423 cited
  • 2007Determining Withdrawal Rates Using Historical Data302 cited
  • 1997New Evidence on the Money's Worth of Individual Annuities293 cited
  • 1978Safety-First, Stochastic Dominance, and Optimal Portfolio Choice277 cited
  • 2007Annuitization and asset allocation272 cited
  • 1977Behavioral Models of Risk Taking in Business Decisions: A Survey and Evaluation257 cited
  • 2000Joint Life Annuities and Annuity Demand by Married Couples253 cited
  • 1980Managerial Risk Preferences for Below-Target Returns

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