Koijen, Ralph S. J.; Nijman, Theo E.; Werker, Bas J. M. - In: Review of Finance 15 (2011) 4, pp. 799-833
This paper studies the life-cycle consumption and portfolio choice problem taking account of annuity risk at retirement. The study allows for government-provided annuity income. Optimally, households allocate retirement wealth to nominal, inflation-linked and variable annuities, and condition...