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Fixed and Variable Longevity Annuities in Defined Contribution Plans : Optimal Retirement Portfolios Taking Social Security into Account

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2023

This paper investigates retirees’ optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected Social Security benefits. As an alternative, we also evaluate using plan assets to boost Social Security benefits...

Persistent link: https://www.econbiz.de/10014255003

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

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/10013123017

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/10013123696

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/10013071793

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

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/10013079212

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

Chai, Jingjing - 2010

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/10013152495

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/10013148650

A Multifactor Perspective on Volatility-Managed Portfolios

DeMiguel, Victor; Martin-Utrera, Alberto; Uppal, Raman - 2022

A fundamental insight in finance is that there is a strong risk-return tradeoff. Moreira and Muir (2017) challenge this … by showing that investors can increase Sharpe ratios by reducing exposure to risk factors when their volatility is high … both low- and high-sentiment periods. Our results demonstrate that the breakdown of the risk-return tradeoff is even more …

Persistent link: https://www.econbiz.de/10013308000