We derive the optimal portfolio choice and consumption pattern over the lifecycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to deferred annuities. Deferred annuities offer a hedge against mortality risk...

This paper analyzes pension plan costs and investment strategies in the context of alternative hybrid pension plans which are optimal either from the perspective of the plan sponsor or the beneficiaries. The focus is in particular on how the introduction of minimum and maximum limits for pension...

This paper analyzes pension plan costs and investment strategies in the context of alternative hybrid pension plans which are optimal either from the perspective of the plan sponsor or the beneficiaries.The focus is in particular on how the introduction of minimum and maximum limits for pension...

As past researches suggest, currency exposure risk is a main source of the overall risk in the international diversified portfolios. Therefore, controlling the currency risk becomes an important task in order to improve the performance of international investments. This study examines the...

US investors hold much less foreign stocks than mean/variance analysis applied to historical data predicts. In this article, we investigate whether this home bias can be explained by Bayesian approaches to international asset allocation. In contrast to mean/variance analysis, Bayesian approaches...

We compute the optimal dynamic annuitization and asset allocation policy for a retiree with Epstein/Zin preferences, uncertain investment horizon, potential bequest motives, and pre-existing pension income. In our setting the retiree can decide each year how much he consumes and how much he...

We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide how much he consumes and how much he invests in stocks, bonds, and annuities. Pricing the annuities we account for asymmetric mortality beliefs and administration expenses. We...

Traditional balanced funds with a more or less constant stock allocation cannot solve the conflict of various investment horizons that most institutional investors face. In order to generate capital gains, large allocations in risky asset classes such as equities are needed. However, this is not...

In investment practice, expected returns are assumed to be time-varying. Instrumental variables like dividend yields or term spreads are employed to predict expected returns. However, there is a substantial amount of estimation risk (or, parameter uncertainty) attached to these predictive...

As a contribution to the discussion on the risks of stocks in the long run the present paper analyses the shortfall risks of stocks using the risk measures shortfall probability, mean excess loss and shortfall expectation for various deterministic as well as a stochastic benchmark. As a main...