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Management of portfolio depletion risk through optimal life cycle asset allocation
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 3, pp. 447-468
Persistent link: https://www.econbiz.de/10012180638
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Life-cycle risk-taking with personal disaster risk
Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - In: International review of economics & finance : IREF 89 (2024) 2, pp. 378-396
Persistent link: https://www.econbiz.de/10014446773
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Life-cycle risk-taking with personal disaster risk
Nicodano, Giovanna; Bagliano, Fabio C.; Fugazza, Carolina - 2021
Persistent link: https://www.econbiz.de/10012523110
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Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
Ruffino, Doriana - In: Review of Economic Dynamics 17 (2014) 1, pp. 107-130
This paper studies two frequently observed portfolio behaviors that are seemingly inconsistent with rational portfolio choice. The first is the tendency of workers and entrepreneurs to hold their company's stock. The second is the propensity of workers to limit their equity holdings through...
Persistent link: https://www.econbiz.de/10010729240
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Lifecycle portfolio choice with systematic longevity risk and variable investment-linked deferred annuities
Kartashov, Vasily; Maurer, Raimund; Mitchell, Olivia S.; … - 2011
Persistent link: https://www.econbiz.de/10009372885
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Optimal portfolio choice with wage-indexed social security
Li, Jialun; Smetters, Kent A. - 2011
allocate its portfolio between risky stocks and risk-free bonds over its lifecycle. We show that allowing for the wage …
Persistent link: https://www.econbiz.de/10009129772
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Hedging recessions
Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 107 (2019), pp. 1-24
Persistent link: https://www.econbiz.de/10012312632
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Stock-Bond allocation over the life cycle with long-term unemployment risk
Rudys, Valentinas - In: The journal of investing : JOI 33 (2024) 2, pp. 88-103
Persistent link: https://www.econbiz.de/10014536099
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Countercyclical risks, consumption, and portfolio choice : theory and evidence
Shen, Jialu - In: Management science : journal of the Institute for … 70 (2024) 5, pp. 2862-2881
Persistent link: https://www.econbiz.de/10014550951
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Analytic approach for models of optimal retirement with disability risk
Chae, Jiwon; Jang, Bong-Gyu; Park, Seyoung - In: Mathematical social sciences 126 (2023), pp. 68-75
Persistent link: https://www.econbiz.de/10014472541