Risky asset allocation and consumption rule in the presence of background risk and insurance markets

2012 ◽  
Vol 50 (1) ◽  
pp. 150-158 ◽  
Author(s):  
Wen-chang Lin ◽  
Jin-ray Lu
Keyword(s):  
Asset Allocation ◽  
Background Risk ◽  
Risky Asset ◽  
Insurance Markets

scholarly journals Aspects of volatility targeting for South African equity investors

2014 ◽  
Vol 17 (5) ◽  
pp. 691-699 ◽  
Author(s):  
Bhekinkosi Khuzwayo ◽  
Eben Mare
Keyword(s):  
South African ◽  
Asset Allocation ◽  
Implied Volatility ◽  
Equity Market ◽  
Risky Asset ◽  
Risk And Return ◽  
Asset Classes ◽  
The Absolute ◽  
Equity Index ◽  
Targeting Strategy

We consider so-called volatility targeting strategies in the South African equity market. These strategies are aimed at keeping the volatility of a portfolio consisting of a risky asset, typically an equity index, and cash fixed. This is done by changing the allocation of the assets based on an indicator of the future volatility of the risky asset. We use the three month rolling implied volatility as an indicator of future volatility to influence our asset allocation. We compare investments based on different volatility targets to the performance of bonds, equities, property as well as the Absolute Return peer mean. We examine risk and return characteristics of the volatility targeting strategy as compared to different asset classes.

Moral Hazard and Background Risk in Competitive Insurance Markets

Economica ◽  
2008 ◽  
Vol 75 (300) ◽  
pp. 700-709 ◽  
Author(s):  
JAMES A. LIGON ◽  
PAUL D. THISTLE
Keyword(s):  
Moral Hazard ◽  
Background Risk ◽  
Insurance Markets

Household life‐cycle asset allocation and background risk of labor income

2013 ◽  
Vol 3 (2) ◽  
pp. 117-130 ◽  
Author(s):  
Mingchao Cai ◽  
Jun Zhao ◽  
Rulu Pan ◽  
Haozhi Huang
Keyword(s):  
Life Cycle ◽  
Asset Allocation ◽  
Background Risk ◽  
Labor Income ◽  
Household Life Cycle

Post-Retirement Labor and Non-Retirement Risky Asset Allocation

2021 ◽  
pp. jor.2021.1.087
Author(s):  
Gary Curnutt ◽  
Qi Sun ◽  
Michael Guillemette
Keyword(s):  
Asset Allocation ◽  
Risky Asset

scholarly journals Life Annuitization: Why and how Much?

2006 ◽  
Vol 36 (2) ◽  
pp. 629-654 ◽  
Author(s):  
Donatien Hainaut ◽  
Pierre Devolder
Keyword(s):  
Asset Allocation ◽  
Risky Asset ◽  
Optimal Planning ◽  
Markov Chain Approximation ◽  
Investment Pattern ◽  
Life Annuity ◽  
Bequest Motive ◽  
Future Consumption ◽  
Life Annuities ◽  
Chain Approximation

This paper addresses some of the problems a majority of retired individuals face: Why and in what proportion should they invest in a life annuity to maximize the utility of their future consumption or a bequest? The market considered in this work is made up of three assets: a life annuity, a risky asset and a cash account. As this problem doesn’t accept any suitable explicit solution, it is numerically solved by the Markov Chain approximation developed by Kushner and Dupuis. Without a bequest motive, we observe that the optimal planning of consumption is divided into two periods and that optimal asset allocation should include the risky asset. Next, the influence of a bequest on consumption and investment pattern is developed. We demonstrate that even with a bequest motive, pensioners should allocate a part of their wealth to the purchase of life annuities.

Sign in / Sign up

Export Citation Format

Share Document