Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2007
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIV, 141 S. graph. Darst. |
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Record in the Search Index
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| adam_text | DYNAMIC ASSET ALLOCATION OVER THE LIFE-CYCLE AND THE ROLE OF INCOMPLETE
ANNUITY MARKETS INAUGURAL-DISSERTATION ZUR ERLANGUNG DES DOKTORGRADES
DES FACHBEREICHS WIRTSCHAFTSWISSCNSCHAFTEN DER JOHANN WOLFGANG GOETHE-
UNIVERSITDT FRANKFURT AM MAIN VORGELEGT VON MICHAEL ZISIS STAMOS AUS
FRANKFURT AM MAIN 2007 INHALTSVERZEICHNIS UBERSICHT DER
WISSENSCHAFTLICHEN BEITRAGE III ABBILDUNGSVERZEICHNIS X
TABELLENVERZEICHNIS XI VERZEICHNIS DER VERWENDETEN SYMBOLE XIII
ABKIIRZUNGSVERZEICHNIS XXIII 1 EINLEITUNG 1 1.1 MOTIVATION UND
ALLGEMEINE EINORDNUNG 1 1.2 BEITRAG ZUR LITERATUR UND ZUSAMMENFASSUNG
DER WICHTIGSTEN ERGEBNISSE 4 1.2.1 LIFE-CYCLE ASSET ALLOCATION WITH
ANNUITY MARKETS: IS LONGE- VITY INSURANCE A GOOD DEAL? 4 1.2.2 OPTIMAL
GRADUAL ANNUITIZATION: QUANTIFYING THE COSTS OF SWIT- CHING TO ANNUITIES
6 1.2.3 OPTIMAL DYNAMIC CONSUMPTION AND PORTFOLIO CHOICE FOR POO- LED
ANNUITY FUNDS 8 1.2.4 OPTIMAL LIFE-CYCLE STRATEGIES IN THE PRESENCE OF
INTEREST RATE AND INFLATION RISK 9 2 LIFE-CYCLE ASSET ALLOCATION WITH
ANNUITY MARKETS: IS LONGEVITY INSURANCE A GOOD DEAL? 11 2.1 INTRODUCTION
AND MOTIVATION 12 2.2 THE MODEL 18 2.2.1 PREFERENCES 18 V 2.2.2 LABOR
INCOME PROCESS 18 2.2.3 CAPITAL MARKET 19 2.2.4 INCOMPLETE ANNUITY
MARKET 20 2.2.5 MORTALITY 22 2.2.6 WEALTH ACCUMULATION 22 2.2.7 THE
NUMERICAL SOLUTION OF THE OPTIMIZATION PROBLEM 23 2.3 OPTIMAL ASSET
ALLOCATION WITH ANNUITIES 25 2.3.1 STYLIZED CASE: FAIRLY PRICED
ANNUITIES AND NO BEQUEST MOTIVE 25 2.3.2 IMPLICATIONS OF ADMINISTRATION
COSTS AND ASYMMETRIC MOR- TALITY BELIEFS 29 2.3.3 IMPLICATIONS OF
BEQUEST MOTIVES 33 2.4 ROBUSTNESS ANALYSIS 35 2.4.1 IMPLICATIONS OF
GENDER SPECIFIC MORTALITIES AND HEALTH STATUS 35 2.4.2 RELATIVE RISK
AVERSION AND ELASTICITY OF INTERTEMPORAL SUBSTI- TUTION 39 2.4.3
DIFFERENT LEVELS OF PENSION INCOME 39 2.5 WELFARE ANALYSIS 40 2.6
CONCLUSION 43 3 OPTIMAL GRADUAL ANNUITIZATION: QUANTIFYING THE COSTS OF
SWITCH- ING TO ANNUITIES 47 3.1 INTRODUCTION 48 3.2 THE MODEL 50 3.2.1
PREFERENCES 50 3.2.2 GRADUAL ANNUITIZATION STRATEGY 51 3.2.3 PARTIAL
SWITCHING STRATEGY 53 3.2.4 COMPLETE SWITCHING STRATEGY 54 3.2.5
NUMERICAL SOLUTION METHOD 54 3.3 THE IMPACT OF SWITCHING RESTRICTIONS ON
OPTIMAL ANNUITIZATION AND ASSET ALLOCATION 55 3.3.1 BASE CASE RESULTS 55
3.3.2 VARIATION OF RISK AVERSION AND ELASTICITY OF INTERTEMPORAL
SUBSTITUTION 60 VI 5.3.2 OPTIMAL BENCHMARK STRATEGY 109 5.4 MONTE CARLO
ANALYSIS 112 5.4.1 IMPACT OF RISK AVERSION, MATURITY, AND INFLATION ON
OPTIMAL RETIREMENT WEALTH AND REPLACEMENT RATIOS 112 5.4.2 UTILITY COSTS
OF SUBOPTIMAL STRATEGIES 116 5.5 CONCLUSION *-. 120 LEBENSLAUF 133 LISTE
WISSENSCHAFTLICHER AUFSATZE 137 KONFERENZBEITRAGE 139 EHRENWORTLICHE
ERKLARUNG 141 VIII
|
| adam_txt |
DYNAMIC ASSET ALLOCATION OVER THE LIFE-CYCLE AND THE ROLE OF INCOMPLETE
ANNUITY MARKETS INAUGURAL-DISSERTATION ZUR ERLANGUNG DES DOKTORGRADES
DES FACHBEREICHS WIRTSCHAFTSWISSCNSCHAFTEN DER JOHANN WOLFGANG GOETHE-
UNIVERSITDT FRANKFURT AM MAIN VORGELEGT VON MICHAEL ZISIS STAMOS AUS
FRANKFURT AM MAIN 2007 INHALTSVERZEICHNIS UBERSICHT DER
WISSENSCHAFTLICHEN BEITRAGE III ABBILDUNGSVERZEICHNIS X
TABELLENVERZEICHNIS XI VERZEICHNIS DER VERWENDETEN SYMBOLE XIII
ABKIIRZUNGSVERZEICHNIS XXIII 1 EINLEITUNG 1 1.1 MOTIVATION UND
ALLGEMEINE EINORDNUNG 1 1.2 BEITRAG ZUR LITERATUR UND ZUSAMMENFASSUNG
DER WICHTIGSTEN ERGEBNISSE 4 1.2.1 LIFE-CYCLE ASSET ALLOCATION WITH
ANNUITY MARKETS: IS LONGE- VITY INSURANCE A GOOD DEAL? 4 1.2.2 OPTIMAL
GRADUAL ANNUITIZATION: QUANTIFYING THE COSTS OF SWIT- CHING TO ANNUITIES
6 1.2.3 OPTIMAL DYNAMIC CONSUMPTION AND PORTFOLIO CHOICE FOR POO- LED
ANNUITY FUNDS 8 1.2.4 OPTIMAL LIFE-CYCLE STRATEGIES IN THE PRESENCE OF
INTEREST RATE AND INFLATION RISK 9 2 LIFE-CYCLE ASSET ALLOCATION WITH
ANNUITY MARKETS: IS LONGEVITY INSURANCE A GOOD DEAL? 11 2.1 INTRODUCTION
AND MOTIVATION 12 2.2 THE MODEL 18 2.2.1 PREFERENCES 18 V 2.2.2 LABOR
INCOME PROCESS 18 2.2.3 CAPITAL MARKET 19 2.2.4 INCOMPLETE ANNUITY
MARKET 20 2.2.5 MORTALITY 22 2.2.6 WEALTH ACCUMULATION 22 2.2.7 THE
NUMERICAL SOLUTION OF THE OPTIMIZATION PROBLEM 23 2.3 OPTIMAL ASSET
ALLOCATION WITH ANNUITIES 25 2.3.1 STYLIZED CASE: FAIRLY PRICED
ANNUITIES AND NO BEQUEST MOTIVE 25 2.3.2 IMPLICATIONS OF ADMINISTRATION
COSTS AND ASYMMETRIC MOR- TALITY BELIEFS 29 2.3.3 IMPLICATIONS OF
BEQUEST MOTIVES 33 2.4 ROBUSTNESS ANALYSIS 35 2.4.1 IMPLICATIONS OF
GENDER SPECIFIC MORTALITIES AND HEALTH STATUS 35 2.4.2 RELATIVE RISK
AVERSION AND ELASTICITY OF INTERTEMPORAL SUBSTI- TUTION 39 2.4.3
DIFFERENT LEVELS OF PENSION INCOME 39 2.5 WELFARE ANALYSIS 40 2.6
CONCLUSION 43 3 OPTIMAL GRADUAL ANNUITIZATION: QUANTIFYING THE COSTS OF
SWITCH- ING TO ANNUITIES 47 3.1 INTRODUCTION 48 3.2 THE MODEL 50 3.2.1
PREFERENCES 50 3.2.2 GRADUAL ANNUITIZATION STRATEGY 51 3.2.3 PARTIAL
SWITCHING STRATEGY 53 3.2.4 COMPLETE SWITCHING STRATEGY 54 3.2.5
NUMERICAL SOLUTION METHOD 54 3.3 THE IMPACT OF SWITCHING RESTRICTIONS ON
OPTIMAL ANNUITIZATION AND ASSET ALLOCATION 55 3.3.1 BASE CASE RESULTS 55
3.3.2 VARIATION OF RISK AVERSION AND ELASTICITY OF INTERTEMPORAL
SUBSTITUTION 60 VI 5.3.2 OPTIMAL BENCHMARK STRATEGY 109 5.4 MONTE CARLO
ANALYSIS 112 5.4.1 IMPACT OF RISK AVERSION, MATURITY, AND INFLATION ON
OPTIMAL RETIREMENT WEALTH AND REPLACEMENT RATIOS 112 5.4.2 UTILITY COSTS
OF SUBOPTIMAL STRATEGIES 116 5.5 CONCLUSION *-. 120 LEBENSLAUF 133 LISTE
WISSENSCHAFTLICHER AUFSATZE 137 KONFERENZBEITRAGE 139 EHRENWORTLICHE
ERKLARUNG 141 VIII |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| spelling | Stamos, Michael Zisis 1977- Verfasser (DE-588)133882888 aut Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets Michael Zisis Stamos 2007 XXIV, 141 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Frankfurt am Main, Univ., Diss., 2007 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016384515&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stamos, Michael Zisis 1977- Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4113937-9 |
| title | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets |
| title_auth | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets |
| title_exact_search | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets |
| title_exact_search_txtP | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets |
| title_full | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets Michael Zisis Stamos |
| title_fullStr | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets Michael Zisis Stamos |
| title_full_unstemmed | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets Michael Zisis Stamos |
| title_short | Dynamic asset allocation over the life-cycle and the role of incomplete annuity markets |
| title_sort | dynamic asset allocation over the life cycle and the role of incomplete annuity markets |
| topic | Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Portfolio Selection Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016384515&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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