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The effect of uncertain labor income and social security on life-cycle portfolios
Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph - 2010
NBER Bulletin on Aging and Health by email. This paper examines how labor income volatility and social security benefits …
Persistent link: https://www.econbiz.de/10003932192
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The Effect of Uncertain Labor Income and Social Security on Life-Cycle Portfolios
Maurer, Raimond - 2011
This paper examines how labor income volatility and social security benefits influence life-cycle household portfolios …
Persistent link: https://www.econbiz.de/10013134565
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Dynamic Asset Allocation with Regime Shifts and Long Horizon CVaR-Constraints
Vo, Huy Thanh - 2013
We analyze portfolio policies for investors who invest optimally for given investment horizons with respect to Conditional Value-at-Risk constraints. We account for non-normally distributed, skewed, and leptokurtic asset return distribution due to regime shifts. The focus is on standard CRRA...
Persistent link: https://www.econbiz.de/10013089344
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The Effect of Uncertain Labor Income and Social Security on Life-Cycle Portfolios
Maurer, Raimond - 2010
This paper examines how labor income volatility and social security benefits can influence lifecycle household …
Persistent link: https://www.econbiz.de/10013148650
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The Effect of Uncertain Labor Income and Social Security on Life-cycle Portfolios
Maurer, Raimond - 2010
This paper examines how labor income volatility and social security benefits can influence lifecycle household …
Persistent link: https://www.econbiz.de/10012462970
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Immobilienaktienmärkte : eine globale Analyse ihres Kapitalmarktverhaltens
Schindler, Felix - 2009
Persistent link: https://www.econbiz.de/10013438303
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Risk value analysis of covered short call and protective put portfolio strategies
Adam, Michael - 1999
Persistent link: https://www.econbiz.de/10013442977
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Investment- und Risikomanagement : Modelle, Methoden, Anwendungen
Albrecht, Peter; Maurer, Raimond - 2008 - 3., überarb. und erw. Aufl.
Persistent link: https://www.econbiz.de/10003707336
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Risk value analysis of covered short call and protective put portfolio strategies
Adam, Michael; Maurer, Raimond - In: Finanzmarkt und Portfolio-Management 13 (1999) 4, pp. 431-449
Persistent link: https://www.econbiz.de/10001517964
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GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices
Dillschneider, Yannick; Maurer, Raimond - 2021
Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …
Persistent link: https://www.econbiz.de/10013251661