Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23438
Authors: 
Horneff, Wolfram J.
Maurer, Raimond H.
Stamos, Michael Z.
Year of Publication: 
2007
Series/Report no.: 
Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 174
Abstract: 
We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide how much he consumes and how much he invests in stocks, bonds, and annuities. Pricing the annuities we account for asymmetric mortality beliefs and administration expenses. We show that the retiree does not purchase annuities only once but rather several times during retirement (gradual annuitization). We analyze the case in which the retiree is restricted to buy annuities only once and has to perform a (complete or partial) switching strategy. This restriction reduces both the utility and the demand for annuities.
Subjects: 
Portfolio Choice
Dynamic Asset Allocation
Insurance
Annuities
Pensions
Retirement
Retirement Policies
JEL: 
D91
G11
G22
J26
H55
Document Type: 
Working Paper

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