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Extending Life Cycle Models of Optimal Portfolio Choice : Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts
Chai, Jingjing - 2011
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/10013134337
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The Efficiency of Pension Menus and Individual Portfolio Choice in 401(K) Pensions
Tang, Ning - 2011
Though millions of US workers have 401(k) plans, few studies evaluate participant investment performance. Using data on over 1,000 401(k) plans and their participants, we identify key portfolio investment inefficiencies and attribute them to offered investment menus versus individual portfolio...
Persistent link: https://www.econbiz.de/10013134338
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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 in turn produced an economic crisis for the rest of the economy via high unemployment...
Persistent link: https://www.econbiz.de/10013118386
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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/10013078133
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Optimizing the Retirement Portfolio : Asset Allocation, Annuitization, and Risk Aversion
Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - 2011
withdrawal strategy, assuming risk aversion, stochastic capital markets, and uncertain lifetimes. The resulting portfolio … retirees across a wide range of risk preferences, supporting financial planning advisors who often recommend this rule. We then … death." As risk aversion rises, annuities first crowd out bonds in retiree portfolios; at higher risk aversion still …
Persistent link: https://www.econbiz.de/10014047792