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Variable annuities and the option to seek risk: Why should you diversify?
16 references·1 citing·38 second hop
Variable annuities and the option to seek risk: Why should you diversify? (2012)Variable annuities and the option to seek…Consumption and Portfolio Choice over the Life Cycle (2005)Consumption and Portfolio Cho…Portfolio Choice in the Presence of Housing (2004)Portfolio Choice in the Prese…Strategic Asset Allocation (2002)Strategic Asset AllocationOptimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income (2001)Optimal Portfolio Choice for …Naive Diversification Strategies in Defined Contribution Saving Plans (2001)Naive Diversification Strateg…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Risk Vulnerability and the Tempering Effect of Background Risk (1996)Risk Vulnerability and the Te…Changes in Background Risk and Risk Taking Behavior (1996)Changes in Background Risk an…Uncertain volatility and the risk-free synthesis of derivatives (1995)Uncertain volatility and the …The value of an Asian option (1995)The value of an Asian optionPricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model (1992)Labor Supply Flexibility and …Labor supply flexibility and portfolio choice in a life cycle model (1992)Labor supply flexibility and …Standard Risk Aversion (1991)Standard Risk AversionThe pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior (2015)On the Propensity to Surrende…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)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Precautionary Saving in the Small and in the Large (1989)Risk Aversion in the Laboratory (2008)Risk-Taking Behavior in the Wake of Natural Disasters (2012)Saving and Liquidity Constraints (1991)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Consumption Over the Life Cycle (2002)Cognitive Ability and Portfolio Choice (2010)Financial Literacy, Retirement Planning and Household Wealth (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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 in the Small and in the Large (1990)Optimal life cycle asset allocation : understanding the empirical evidence (2005)Hedging, Familiarity and Portfolio Choice (2006)Individual differences in reasoning: Implications for the rationality debate? (2000)Heuristics and Biases: The Psychology of Intuitive Judgment (2004)Heuristic Decision Making (2010)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)How do house prices affect consumption? Evidence from micro data (2006)Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints∗ (2015)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2005Consumption and Portfolio Choice over the Life Cycle1,544 cited
  • 2001Naive Diversification Strategies in Defined Contribution Saving Plans1,538 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 1992Labor supply flexibility and portfolio choice in a life cycle model1,136 cited
  • 2004Portfolio Choice in the Presence of Housing1,004 cited
  • 1991Standard Risk Aversion851 cited
  • 1996Risk Vulnerability and the Tempering Effect of Background Risk765 cited
  • 2001Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income755 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1995The value of an Asian option532 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1995Uncertain volatility and the risk-free synthesis of derivatives364 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1992Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model360 cited

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1996
Changes in Background Risk and Risk Taking Behavior
353 cited

Cited by

  • 2015On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior57 cited