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Life-cycle asset allocation with annuity markets

Horneff, Wolfram J.; Maurer, Raimond; Stamos, Michael Zisis - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3590-3612

Persistent link: https://www.econbiz.de/10003780976

Asset allocation and location over the life cycle with survival-contingent payoffs

Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - 2008

Persistent link: https://www.econbiz.de/10003861308

Asset allocation and location over the life cycle with investment-linked survival-contingent payouts

Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - In: Journal of banking & finance 33 (2009) 9, pp. 1688-1899

Persistent link: https://www.econbiz.de/10003872868

Optimal gradual annuitization : quantifying the costs of switching to annuities

Horneff, Wolfram J. (contributor); … - 2007

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...