Horneff, Wolfram; Maurer, Raimond; Rogalla, Ralph - In: Journal of Banking & Finance 34 (2010) 11, pp. 2652-2664
We derive the optimal life-cycle portfolio choice and consumption pattern for households facing uncertain labor income, risky capital market, and mortality risk. In addition to stocks and bonds, the households have access to deferred annuities. Deferred payout life annuities are financial...