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Variable annuities versus mutual funds: a Monte-Carlo analysis of the options

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  • Milevsky, Moshe Arye
  • Panyagometh, Kamphol
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    Bibliographic Info

    Article provided by Elsevier in its journal Financial Services Review.

    Volume (Year): 10 (2001)
    Issue (Month): 1-4 ()
    Pages: 145-161

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    Handle: RePEc:eee:finser:v:10:y:2001:i:1-4:p:145-161

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    Web page: http://www.rmi.gsu.edu/FSR/FSRhome.htm

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    1. Knight, John R. & Mandell, Lewis, 1992. "Nobody gains from dollar cost averaging analytical, numerical and empirical results," Financial Services Review, Elsevier, vol. 2(1), pages 51-61.
    2. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    3. Joel M. Dickson & John B. Shoven, 1994. "A Stock Index Mutual Fund Without Net Capital Gains Realizations," NBER Working Papers 4717, National Bureau of Economic Research, Inc.
    4. Thistle, Paul D., 1993. "Negative Moments, Risk Aversion, and Stochastic Dominance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(02), pages 301-311, June.
    5. Ranguelova, Elena & Feldstein, Martin, 2001. "Individual Risk in an Investment-Based Social Security System," Scholarly Articles 2797440, Harvard University Department of Economics.
    6. Lewellen, Wilbur G. & Mauer, David C., 1988. "Tax Options and Corporate Capital Structures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 387-400, December.
    7. Martin Feldstein & Elena Ranguelova, 2001. "Individual Risk in an Investment-Based Social Security System," NBER Working Papers 8074, National Bureau of Economic Research, Inc.
    8. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba & Mark J. Warshawsky, 1999. "Taxing Retirement Income: Nonqualified Annuities and Distributions from Qualified Accounts," NBER Working Papers 7268, National Bureau of Economic Research, Inc.
    9. George M. Constantinides, 1983. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," NBER Working Papers 1176, National Bureau of Economic Research, Inc.
    10. James M. Poterba & John B. Shoven & Clemens Sialm, 2000. "Asset Location for Retirement Savers," NBER Working Papers 7991, National Bureau of Economic Research, Inc.
    11. Crain, Terry L. & Austin, Jeffrey R., 1997. "An analysis of the tradeoff between tax deferred earnings in iras and preferential capital gains," Financial Services Review, Elsevier, vol. 6(4), pages 227-242.
    12. Hadar, Josef & Seo, Tae Kun, 1988. "Asset Proportions in Optimal Portfolios," Review of Economic Studies, Wiley Blackwell, vol. 55(3), pages 459-68, July.
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    Cited by:
    1. Jeffrey Brown & James Poterba, 2006. "Household Ownership of Variable Annuities," NBER Working Papers 11964, National Bureau of Economic Research, Inc.

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