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Optimal Portfolio Choice With Health Contingent Income Products
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Book Synopsis Optimal Portfolio Choice with Health-Contingent Income Products by : Shang Wu
Download or read book Optimal Portfolio Choice with Health-Contingent Income Products written by Shang Wu and published by . This book was released on 2016 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whereas there is ample evidence that life-contingent income products (life annuities) have the potential to improve individual welfare, combining them with health-contingent income products (resulting in so-called life care annuities) would serve to further increase welfare for individuals who are exposed to uncertain out-of-pocket healthcare expenditure later in life. We develop a life-cycle model of annuitization, consumption, and investment decisions for a single retired individual who faces stochastic capital market returns, uncertain health status, differential mortality risks, and uncertain out-of-pocket healthcare expenditure with cost of dying. Using the calibrated model, we show that individuals who are eligible to purchase life care annuities instead of standard life annuities increase their level of annuitization by around 12 percentage points. Health status at retirement affects the extent to which the insurance feature and the pricing advantage of life care annuities contribute to this increment, with end-of-life healthcare expenditure being of particular importance. Also, life care annuities allow individuals to consume more throughout their retirement and to invest a higher proportion of their liquid wealth in the risky asset. They are willing to pay a loading up to 21% for having access to life care annuities.
Book Synopsis Optimal Portfolio Choice for Long-horizon Investors with Nontradable Labor Income by : Luis Manuel Viceira Alguacil
Download or read book Optimal Portfolio Choice for Long-horizon Investors with Nontradable Labor Income written by Luis Manuel Viceira Alguacil and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Portfolio Choice with Asset Return Predictability and Nontradable Labor Income by :
Download or read book Optimal Portfolio Choice with Asset Return Predictability and Nontradable Labor Income written by and published by . This book was released on 2015 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Portfolio Choice and Equilibrium in a Lognormal Securities Market by : Vijay S. Bawa
Download or read book Optimal Portfolio Choice and Equilibrium in a Lognormal Securities Market written by Vijay S. Bawa and published by . This book was released on 1977 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Portfolio Choice Based on High-frequency Financial Data by : Mladen Maslarski
Download or read book Optimal Portfolio Choice Based on High-frequency Financial Data written by Mladen Maslarski and published by . This book was released on 2007 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Allocation and Location Over the Life Cycle with Survival-contingent Payouts by : Wolfram J. Horneff
Download or read book Asset Allocation and Location Over the Life Cycle with Survival-contingent Payouts written by Wolfram J. Horneff and published by . This book was released on 2008 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. Our model generates optimal asset location patterns indicating how much to hold in liquid versus illiquid survival-contingent payouts over the lifetime, and also asset allocation paths, showing how to invest in stocks versus bonds. We confirm that the investor will gradually move money out of her liquid saving into survival-contingent assets to retirement and beyond, thereby enhancing her welfare by as much as 50 percent. The results are also robust to the introduction of uninsurable consumption shocks in housing expenses, income flows during the worklife and retirement, sudden changes in health status, and medical expenses.
Book Synopsis Optimal Portfolio Choice Under Parameter Uncertainity by : Rolf Merz
Download or read book Optimal Portfolio Choice Under Parameter Uncertainity written by Rolf Merz and published by . This book was released on 2011 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle by : Victor Duarte
Download or read book Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle written by Victor Duarte and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a machine-learning solution algorithm to solve for optimal portfolio choice in a detailed and quantitatively-accurate lifecycle model that includes many features of reality modelled only separately in previous work. We use the quantitative model to evaluate the consumption-equivalent welfare losses from using simple rules for portfolio allocation across stocks, bonds, and liquid accounts instead of the optimal portfolio choices. We find that the consumption-equivalent losses from using an age-dependent rule as embedded in current target-date/lifecycle funds (TDFs) are substantial, around 2 to 3 percent of consumption, despite the fact that TDF rules mimic average optimal behavior by age closely until shortly before retirement. Our model recommends higher average equity shares in the second half of life than the portfolio of the typical TDF, so that the typical TDF portfolio does not improve on investing an age-independent 2/3 share in equity. Finally, optimal equity shares have substantial heterogeneity, particularly by wealth level, state of the business cycle, and dividend-price ratio, implying substantial gains to further customization of advice or TDFs in these dimensions.
Book Synopsis Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection by : Vanya Horneff
Download or read book Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection written by Vanya Horneff and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate lifecycle consumption and portfolio allocation patterns resulting from access to Guaranteed Minimum Withdrawal Benefit (GMWB) variable annuities, one of the most rapidly-growing financial innovations over the last two decades. A key feature of these products is that they offer access to equity investments with downside protection, hedging of longevity risk, and partially-refundable premiums. Welfare rises since policyholders exercise the product's flexibility by taking withdrawals and dynamically adjusting their portfolios and consumption streams. Consistent with observed behavior, differences across individuals' cash out and annuitization patterns result from variations in realized equity market returns and labor income trajectories.
Book Synopsis Non-market Wealth, Background Risk and Portfolio Choice by : Günter Franke
Download or read book Non-market Wealth, Background Risk and Portfolio Choice written by Günter Franke and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Life-Cycle Asset Allocation with Annuity Markets by : Wolfram J. Horneff
Download or read book Life-Cycle Asset Allocation with Annuity Markets written by Wolfram J. Horneff and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. We show that a considerable fraction of wealth should be annuitized to skim the return enhancing mortality credit. The remaining liquid wealth (stocks and bonds) is used to hedge labor income risk during work life, to earn the equity premium, and to ensure estate for the heirs. Furthermore, we assess the importance of common explanations for limited participation in annuity markets.
Book Synopsis Optimal Portfolio Choice with Benchmark by : Raymond Kan
Download or read book Optimal Portfolio Choice with Benchmark written by Raymond Kan and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Model Combination and Optimal Portfolio Choice by : Rainer Schüssler
Download or read book Essays on Model Combination and Optimal Portfolio Choice written by Rainer Schüssler and published by . This book was released on 2014 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Portfolio Choice Under Partial Information and Transaction Costs by : Huamao Wang
Download or read book Optimal Portfolio Choice Under Partial Information and Transaction Costs written by Huamao Wang and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Retirement Income Recipes in R by : Moshe Arye Milevsky
Download or read book Retirement Income Recipes in R written by Moshe Arye Milevsky and published by Springer Nature. This book was released on 2020-09-26 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides computational tools that readers can use to flourish in the retirement income industry. Each chapter describes recipe-like algorithms and explains how to implement them via simple scripts in the freely available R coding language. Students can use those skills to generate quantitative answers to the most common questions in retirement income planning, as well as to develop a deeper understanding of the finance and economics underlying the field itself. The book will be an excellent asset for experienced students who are interested in advanced wealth management, and specifically within courses that focus on holistic modeling of the retirement income process. The material will also be useful to current and future wealth management professionals within the financial services industry. Readers should have a solid understanding of financial principles, as well as a rudimentary background in economics and accounting.
Book Synopsis Recalibrating Retirement Spending and Saving by : John Ameriks
Download or read book Recalibrating Retirement Spending and Saving written by John Ameriks and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: As Baby Boomers make the transition into their 60s, they have focused policymakers and the media's attention onto how this generation will manage the retirement phase of its lifetime. This volume acknowledges that many, though not all, in this older cohort have accumulated substantial assets, so for them, the question is what will they do with what they have? We offer a detailed exploration of how people entering retirement will deploy their accumulated assets in the near and long term, so to best meet their myriad spending, investment, and other objectives. The book offers readers an invaluable study of emerging issues regarding assets and expectations on the verge of retirement, including uncertainty regarding life expectancy and morbidity. It is composed of chapters from a distinguished set of authors including a Nobel Laureate and a wonderful mix of academics and practitioners from the legal, financial, and economic fields. This volume represents an invaluable addition to the Pension Research Council / Oxford University Press series. It will be especially useful for analysts and consumers concerned with ways to position, invest, manage, and spend retirement assets; financial advisers and academics debating ways to effectively manage assets in retirement; and lawyers and policy experts evaluating regulation for the retirement payout marketplace.
Book Synopsis Fixed-Income Securities by : Lionel Martellini
Download or read book Fixed-Income Securities written by Lionel Martellini and published by John Wiley & Sons. This book was released on 2005-09-27 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
