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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence

Dimmock, Stephen G. - 2013

.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …

Persistent link: https://www.econbiz.de/10012459919

Target-Date Funds in 401(k) Retirement Plans

Mitchell, Olivia S. - 2012

Individual responsibility for portfolio construction is a central theme for defined contribution pensions, yet the rise of target-date funds is shifting investment decisions from workers back to employers. A complex choice architecture including automatic enrollment, reenrollment, and fund...

Persistent link: https://www.econbiz.de/10012460747

The Effect of Uncertain Labor Income and Social Security on Life-cycle Portfolios

Maurer, Raimond - 2010

with low income uncertainty; for the high income risk worker, equity exposure rises until retirement. We also evaluate how … differences in social security benefits can influence retirement risk management …

Persistent link: https://www.econbiz.de/10012462970

Extending Life Cycle Models of Optimal Portfolio Choice : Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

Chai, Jingjing - 2009

This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the...

Persistent link: https://www.econbiz.de/10012463570

Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts

Horneff, Wolfram J. - 2008

This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. Our model generates optimal asset location patterns indicating how much to hold in...

Persistent link: https://www.econbiz.de/10012464591

Money in Motion : Dynamic Portfolio Choice in Retirement

Horneff, Wolfram J. - 2007

. Welfare gains from this strategy can amount to 40 percent of financial wealth (depending on risk parameters and other …

Persistent link: https://www.econbiz.de/10012465714

Time is Money : Life Cycle Rational Inertia and Delegation of Investment Management

Kim, Hugh Hoikwang - 2013

This paper incorporates two empirically-grounded insights into a dynamic life cycle portfolio choice model: the fact that investors forego the opportunity to accumulate job-specific skills when they spend time managing their own money, and the observation that efficiency in financial decision...

Persistent link: https://www.econbiz.de/10012458931

Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection

Horneff, Vanya - 2013

longevity risk, and partially-refundable premiums. Welfare rises since policyholders exercise the product's flexibility by …

Persistent link: https://www.econbiz.de/10012459457

Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply

Chai, Jingjing - 2011

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion produced an economic crisis for the rest of the economy via high unemployment and...

Persistent link: https://www.econbiz.de/10012461524

Crash Risk in Currency Markets

Farhi, Emmanuel - 2009

expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …

Persistent link: https://www.econbiz.de/10012463588