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Portfolio management and retirement: what is the best arrangement for a family?

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  • Thomas Post
  • Helmut Gründl
  • Hato Schmeiser

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11408-006-0022-6
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Bibliographic Info

Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 20 (2006)
Issue (Month): 3 (September)
Pages: 265-285

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Handle: RePEc:kap:fmktpm:v:20:y:2006:i:3:p:265-285

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Web page: http://www.springerlink.com/link.asp?id=119763

Related research

Keywords: Self-annuitization; Life-cycle asset allocation; Savings behavior; Retirement decisions; D13; D14; D91; G11; G22; G23;

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References

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  1. Francisco Gomes & Alexander Michaelides, 2005. "Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence," Journal of Finance, American Finance Association, vol. 60(2), pages 869-904, 04.
  2. Kotlikoff, Laurence J & Spivak, Avia, 1981. "The Family as an Incomplete Annuities Market," Journal of Political Economy, University of Chicago Press, vol. 89(2), pages 372-91, April.
  3. Jeffrey R. Brown, 1999. "Private Pensions, Mortality Risk, and the Decision to Annuitize," NBER Working Papers 7191, National Bureau of Economic Research, Inc.
  4. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
  5. Carroll, Christopher D & Kimball, Miles S, 1996. "On the Concavity of the Consumption Function," Econometrica, Econometric Society, vol. 64(4), pages 981-92, July.
  6. Deaton, A., 1989. "Saving And Liquidity Constraints," Papers 153, Princeton, Woodrow Wilson School - Public and International Affairs.
  7. Ralf A. Wilke, 2005. "New Extimates of the Duration and Risk of Unemployment for West-Germany," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 125(2), pages 207-237.
  8. Olivia S. Mitchell & James M. Poterba & Mark J. Warshawsky, 2000. "New Evidence on the Money's Worth of Individual Annuities," NBER Working Papers 6002, National Bureau of Economic Research, Inc.
  9. Christian Dustmann, 2004. "Parental background, secondary school track choice, and wages," Oxford Economic Papers, Oxford University Press, vol. 56(2), pages 209-230, April.
  10. Moshe A. Milevsky, 2005. "The Implied Longevity Yield: A Note on Developing an Index for Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 302-320.
  11. João Cocco & Francisco Gomes & Pascal Maenhout, 1998. "Consumption and Portfolio Choice over the Life-Cycle," Center for Economic Studies - Discussion papers ces9805, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  12. David Blake & Andrew J. G. Cairns & Kevin Dowd, 2003. "Pensionmetrics 2: stochastic pension plan design during the distribution phase," LSE Research Online Documents on Economics 24830, London School of Economics and Political Science, LSE Library.
  13. Rodepeter, Ralf & Winter, Joachim, 1999. "Rules of thumb in life-cycle savings models," Sonderforschungsbereich 504 Publications 99-81, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  14. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2005. "Annuities and Individual Welfare," American Economic Review, American Economic Association, vol. 95(5), pages 1573-1590, December.
  15. Jeffrey R. Brown, 2002. "Redistribution and Insurance: Mandatory Annuitization with Mortality Heterogeneity," NBER Working Papers 9256, National Bureau of Economic Research, Inc.
  16. Bernd Fitzenberger & Gaby Wunderlich, 2002. "Gender Wage Differences in West Germany: A Cohort Analysis," German Economic Review, Verein für Socialpolitik, vol. 3(4), pages 379-414, November.
  17. Vidal-Meli , Carlos & Lej Rraga-Garc A, Ana, 2006. "Demand for life annuities from married couples with a bequest motive," Journal of Pension Economics and Finance, Cambridge University Press, vol. 5(02), pages 197-229, July.
  18. Jeffrey R. Brown & James M. Poterba, 1999. "Joint Life Annuities and Annuity Demand by Married Couples," NBER Working Papers 7199, National Bureau of Economic Research, Inc.
  19. David I. Laibson & Andrea Repetto & Jeremy Tobacman, 1998. "Self-Control and Saving for Retirement," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(1), pages 91-196.
  20. Milevsky, Moshe Arye & Ho, Kwok & Robinson, Chris, 1997. " Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money," Review of Quantitative Finance and Accounting, Springer, vol. 9(1), pages 53-70, July.
  21. Albrecht, Peter & Maurer, Raimond, 2001. "Self-Annuitization, Ruin Risk in Retirement and Asset Allocation: The Annuity Benchmark," Sonderforschungsbereich 504 Publications 01-35, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  22. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, December.
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Citations

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Cited by:
  1. Thomas Post, 2009. "Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality," SFB 649 Discussion Papers SFB649DP2009-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Sanders, E.A.T., 2011. "Annuity market imperfections," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4960701, Tilburg University.
  3. Huang, Rachel J. & Tsai, Jeffrey T. & Tzeng, Larry Y., 2008. "Government-provided annuities under insolvency risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 377-385, December.

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