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

  • Milevsky, Moshe Arye
  • Panyagometh, Kamphol
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    File URL: http://www.sciencedirect.com/science/article/B6W4D-45CW9PB-1/2/09c25e95d56e2b913a5d6a4cf882096a
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    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
    Contact details of provider: Web page: http://www.rmi.gsu.edu/FSR/FSRhome.htm

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    1. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
    2. 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.
    3. 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.
    4. Hadar, Josef & Seo, Tae Kun, 1988. "Asset Proportions in Optimal Portfolios," Review of Economic Studies, Wiley Blackwell, vol. 55(3), pages 459-68, July.
    5. James M. Poterba & John B. Shoven & Clemens Sialm, 2000. "Asset Location for Retirement Savers," NBER Working Papers 7991, National Bureau of Economic Research, Inc.
    6. Arnold R. Cowan & Jann C. Howell & Mark L. Power, 2002. "Wealth Effects of Banks' Rights to Market and Originate Annuities," Finance 0203002, EconWPA.
    7. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    8. 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.
    9. Martin Feldstein & Elena Ranguelova, 2001. "Individual Risk in an Investment-Based Social Security System," American Economic Review, American Economic Association, vol. 91(4), pages 1116-1125, September.
    10. 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.
    11. Ranguelova, Elena & Feldstein, Martin, 2001. "Individual Risk in an Investment-Based Social Security System," Scholarly Articles 2797440, Harvard University Department of Economics.
    12. 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.
    13. 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.
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