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Managing contribution and capital market risk in a funded public defined benefit plan : impact of cvar cost constraints
Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph - 2008
Persistent link: https://www.econbiz.de/10003759161
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Optimal gradual annuitization : quantifying the costs of switching to annuities
Horneff, Wolfram J.; Maurer, Raimond; Stamos, Michael Zisis - In: The journal of risk and insurance : the journal of the … 75 (2008) 4, pp. 1019-1038
Persistent link: https://www.econbiz.de/10003790377
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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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Optimizing the retirement portfolio : asset allocation, annuitization, and risk aversion
Horneff, Wolfram J.; Maurer, Raimond; Mitchell, Olivia S.; … - 2006
Persistent link: https://www.econbiz.de/10003354841
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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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Managing contribution and capital market risk in a funded public defined benefit plan : impact of CVaR cost constraints
Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph - 2008
Persistent link: https://www.econbiz.de/10003861313
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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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Zur Eigenmittelunterlegung von Leistungszusagen in der Auszahlphase bei investmentfondsbasierten Altersvorsorgeverträgen : ein Gestaltungsvorschlag
Duš, Ivica; Maurer, Raimond - In: Kredit und Kapital 42 (2009) 2, pp. 277-312
Persistent link: https://www.econbiz.de/10003867456
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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