Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...

Retirees must draw down their accumulated assets in an orderly fashion so as not to exhaust their funds too soon. We derive the optimal retirement portfolio from a menu that includes payout annuities as well as an investment allocation and a withdrawal strategy, assuming risk aversion,...

As a contribution to the discussion on the risks of stocks in the long run the present paper analyses the shortfall risks of stocks using the risk measures shortfall probability, mean excess loss and shortfall expectation for various deterministic as well as a stochastic benchmark. As a main...

Retirees must draw down their accumulated assets in an orderly fashion, so as not to exhaust their funds too soon. We compare alternative phased withdrawal strategies to a life annuity benchmark using German data; one particular phased withdrawal rule seems attractive, as it offers relatively low...

We designed and fielded an experimental module in the 2014 HRS which seeks to measure older persons' willingness to voluntarily defer claiming of Social Security benefits. In addition we evaluate the stated willingness of older individuals to work longer, depending on the Social Security...

Many households display inertia in investment management over their life cycles. Our calibrated dynamic life cycle portfolio choice model can account for such an apparently ‘irrational' outcome, by incorporating the fact that investors must forego acquiring job-specific skills when they spend...

Many believe that global capital markets will generate lower returns in the future versus the past. We examine how persistently lower real returns will reshape work, retirement, saving, and investment behavior of older persons using a calibrated dynamic life cycle model. In a low return regime,...

In this paper, we investigate the parallelization efficiency of the discrete time dynamic programming approach to solve dynamic portfolio choice models over the life cycle. This approach suffers from the so-called curse of dimensionality. That is, the time-to-result grows exponentially in the...

Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk...

In contrast to the United States and the United Kingdom, little empirical work exists about the distributional characteristics of appraisalbased real estate returns outside these countries. The purpose of this study is to fill this gap by focusing on Germany. In line with other studies, this...