Life-cycle asset allocation with annuity markets

被引：53
|
作者：
Horneff, Wolfram J. [1 ]
Maurer, Raimond H. [1 ]
Stamos, Michael Z. [1 ,2 ]
机构：
[1] Goethe Univ Frankfurt, Dept Finance, D-60325 Frankfurt, Germany
[2] Allianz Global Investors, D-60329 Frankfurt, Germany
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2008年 / 32卷 / 11期
关键词：
Household finance; Portfolio choice; Life annuities; Illiquid assets;
D O I：
10.1016/j.jedc.2008.01.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper derives the optimal consumption and portfolio choice pattern over the life-cycle for households facing Uninsurable labor income risk, ruin risk. stochastic capital markets, and uncertain lifetime. Our model posits a dynamic utility maximizer with CRRA and Epstein/Zin preferences who has access to liquid stocks, bonds, and illiquid life annuities. We show that a considerable fraction of wealth is gradually annuitized until retirement and beyond to skim the mortality credit. The remaining liquid wealth is mainly invested in stocks to compensate for riskless investment in life annuities. The model allows us to assess the economic importance of common explanations for the empirically low annuity demand by analyzing participations rates, annuitization fractions, and welfare effects. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：3590 / 3612
页数：23
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