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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
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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
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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
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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...
Persistent link: https://www.econbiz.de/10003480362
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Variable payout annuities and dynamic portfolio choice in retirement
Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - In: Journal of pension economics and finance 9 (2010) 2, pp. 163-183
Persistent link: https://www.econbiz.de/10003987836
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Asset allocation and location over the life cycle with survival-contingent payouts
Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - 2008
Persistent link: https://www.econbiz.de/10003725118
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Extending life cycle models of optimal portfolio choice : integrated flexible work, endogenous retirement, and investment decisions with lifetime payouts
Chai, Jingjing; Horneff, Wolfram J.; Maurer, Raimond; … - 2009
Persistent link: https://www.econbiz.de/10003851671
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Dynamic portfolio choice with deferred annuities
Horneff, Wolfram J.; Maurer, Raimond; Rogalla, Ralph - In: Journal of banking & finance 34 (2010) 11, pp. 2652-2664
Persistent link: https://www.econbiz.de/10008858851
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Forthcoming review of finance optimal portfolio choice over the life-cycle with flexible work, endogenous retirement, and lifetime payouts
Chai, Jingjing; Horneff, Wolfram J.; Maurer, Raimond; … - 2011
Persistent link: https://www.econbiz.de/10009231319
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Forecasting stock market volatility
Stamos, Michael Zisis - In: The journal of portfolio management : JPM 49 (2023) 3, pp. 129-137
Persistent link: https://www.econbiz.de/10014232215