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Life-cycle asset allocation with annuity markets · Study

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ArticleLife-cycle asset allocation with annuity markets

Wolfram J. Horneff2008

Article2008

Life-cycle asset allocation with annuity markets

Wolfram J. Horneff · Raimond Maurer · Michael Z. Stamos

121 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications Economic theories and models

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References

1970The Market for "Lemons": Quality Uncertainty and the Market Mechanism 1971Optimum consumption and portfolio rules in a continuous-time model 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1965Uncertain Lifetime, Life Insurance, and the Theory of the Consumer 2006Household Finance 2002Consumption Over the Life Cycle 2005Consumption and Portfolio Choice over the Life Cycle 2000Investing for the Long Run when Returns Are Predictable

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2015How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios 2009Variable payout annuities and dynamic portfolio choice in retirement 2010Dynamic portfolio choice with deferred annuities 2013Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners 2016The annuity puzzle remains a puzzle

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2008Asset Allocation and Location over the Life Cycle with Survival-Contingent Payoutsreport · 17 shared references 2010Heterogeneity and Portfolio Choice: Theory and Evidencechapter · 16 shared references 2009Asset allocation and location over the life cycle with investment-linked survival-contingent payoutsarticle · 16 shared references 2010Optimal Annuity Risk Managementarticle · 16 shared references 2010Dynamic portfolio choice with deferred annuitiesarticle · 16 shared references 2008Portfolio Choice with Puts: Evidence from Variable Annuitiesarticle · 16 shared references

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Year2008

Typearticle

Published2008-03-15

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations121

Files0 public / 0

ShelfFinancial Literacy, Pension, Retirement Analysis

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doi10.1016/j.jedc.2008.01.007

openalex_workW2023675883

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2015

Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

2020Displaced, disliked and misunderstood: A systematic review of the reasons for low uptake of long-term care insurance and life annuities

2008Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities