Moshe A. Milevsky

York University - Schulich School of Business

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

SCHOLARLY PAPERS

55

DOWNLOADS
Rank 1,139

SSRN RANKINGS

Top 1,139

in Total Papers Downloads

19,370

CITATIONS
Rank 3,901

SSRN RANKINGS

Top 3,901

in Total Papers Citations

139

Scholarly Papers (55)

1.
Downloads 3,027 ( 2,677)
Citation 11

Human Capital, Asset Allocation, and Life Insurance

Yale ICF Working Paper No. 05-11
Number of pages: 21 Posted: 13 May 2005
Roger G. Ibbotson, Peng Chen, Moshe A. Milevsky and Xingnong Zhu
Yale School of Management, Ibbotson Associates, York University - Schulich School of Business and Ibbotson Associates
Downloads 3,027 (2,608)
Citation 11

Abstract:

Human Capital, Asset Allocation, Life Insurance

Human Capital, Asset Allocation, and Life Insurance

Financial Analysts Journal, Vol. 62, No. 1, pp. 97-109, January/February 2006
Posted: 03 May 2006
Peng Chen, Roger G. Ibbotson, Moshe A. Milevsky and Kevin X. Zhu Sr.
Ibbotson Associates, Yale School of Management, York University - Schulich School of Business and affiliation not provided to SSRN

Abstract:

Private Wealth Management, Asset Allocation, Client Objectives Constraints and Behavior, Investment Policy Formulation

2.

Optimal Asset Allocation Towards the End of the Life Cycle: To Annuitize or Not to Annuitize?

FAS#21-96
Number of pages: 48 Posted: 06 Nov 1996
Moshe A. Milevsky
York University - Schulich School of Business
Downloads 1,582 (6,886)
Citation 25

Abstract:

3.

Closed-Form Analytic Pricing and Hedging of Arithmetic Asian Options using a Reciprocal Gamma Distribution

Number of pages: 17 Posted: 06 Jun 1997
Moshe A. Milevsky and Steven E. Posner
York University - Schulich School of Business and Morgan Stanley - United Kingdom Office
Downloads 1,262 (11,271)

Abstract:

4.

Variable Annuities versus Mutual Funds: A Monte Carlo Analysis of the Options

York-Schulich-Finance Working Paper No. MM10-1
Number of pages: 24 Posted: 08 Nov 2001
Moshe A. Milevsky and Kamphol Panyagometh
York University - Schulich School of Business and NIDA Business School
Downloads 969 (15,274)
Citation 3

Abstract:

Asset Allocation, Taxes, Insurance

5.

Cleaning a Passive Index: How to Use Portfolio Optimization to Satisfy CSR Constraints

Number of pages: 30 Posted: 17 Dec 2004
York University - Schulich School of Business, Algorithmics Inc., Ryerson University - Ted Rogers School of Management, Institute for Research and Innovation in Sustainability and York University - Schulich School of Business
Downloads 831 (21,045)
Citation 4

Abstract:

Investments, Pension Funds, Efficient Frontier, Socially Responsible Investing

6.

Optimal Initiation of a GLWB in a Variable Annuity: No Arbitrage Approach

Number of pages: 23 Posted: 26 Feb 2013
Moshe A. Milevsky, Huang Huaxiong and T. S. Salisbury
York University - Schulich School of Business, York University and York University
Downloads 738 (15,964)

Abstract:

Insurance, Retirement, Options, Longevity, Optimization

7.
Downloads 723 ( 27,272)
Citation 32

Mortality Derivatives and the Option to Annuitize

York University Finance Working Paper No. MM08-1
Number of pages: 31 Posted: 08 Nov 2001
Moshe A. Milevsky and David Promislow
York University - Schulich School of Business and York University - Department of Mathematics & Statistics
Downloads 723 (26,838)
Citation 32

Abstract:

insurance, risk management, longevity

Mortality Derivatives and the Option to Annuitize

Forthcoming in Insurance Mathematics and Economics
Posted: 20 Nov 2001
Moshe A. Milevsky and David Promislow
York University - Schulich School of Business and York University - Department of Mathematics & Statistics

Abstract:

insurance, risk management, longevity

8.

The Real Option to Delay Annuitization: It's Not Now-or-Never

York-Schulich-Finance Working Paper No. MM11-1
Number of pages: 44 Posted: 08 Nov 2001
Moshe A. Milevsky and V.R. Young
York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 689 (23,446)
Citation 15

Abstract:

Retirement, Asset Allocation, Longevity Risk, Mortality

9.

Option-Adjusted Equilibrium Valuation of Guaranteed Minimum Death Benefits in Variable Annuities

Working Paper No. SSB 6-99
Number of pages: 31 Posted: 05 Jul 1999
Moshe A. Milevsky and Steven E. Posner
York University - Schulich School of Business and Morgan Stanley - United Kingdom Office
Downloads 623 (31,326)

Abstract:

10.

A Continuous-Time Re-examination of the Inefficiency of Dollar-Cost Averaging

SSBFIN-9901
Number of pages: 28 Posted: 19 Feb 1999
Moshe A. Milevsky and Steven E. Posner
York University - Schulich School of Business and Morgan Stanley - United Kingdom Office
Downloads 607 (28,715)
Citation 2

Abstract:

11.

The Annuity Duration Puzzle

Number of pages: 52 Posted: 15 Mar 2012
Narat Charupat, Mark J. Kamstra and Moshe A. Milevsky
McMaster University - DeGroote School of Business, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 438 (40,490)
Citation 1

Abstract:

Retirement, Pensions, Lifecycle, Portfolio Choice, Insurance, Mortality

12.

Longevity Risk and Retirement Income Tax Efficiency: A Location Spending Rate Puzzle

Number of pages: 34 Posted: 19 Nov 2011 Last Revised: 19 May 2017
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 409 (40,772)
Citation 1

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

13.
Downloads 404 ( 58,013)
Citation 6

Portfolio Choice and Life Insurance: The CRRA Case

Number of pages: 31 Posted: 03 Mar 2006
Moshe A. Milevsky, Huang Huaxiong and Jin Wang
York University - Schulich School of Business, York University and York University - Schulich School of Business
Downloads 402 (57,806)
Citation 6

Abstract:

Asset Allocation, Retirement Planning, Life Cycle, Portfolio Choice

Portfolio Choice and Life Insurance: The CRRA Case

Journal of Risk & Insurance, Vol. 75, Issue 4, pp. 847-872, December 2008
Number of pages: 26 Posted: 07 Nov 2008
Huaxiong Huang, Moshe A. Milevsky and Jin Wang
affiliation not provided to SSRN, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 2 (557,860)
Citation 6

Abstract:

Portfolio Choice With Puts: Evidence from Variable Annuities

Number of pages: 32 Posted: 27 Nov 2007
Moshe A. Milevsky and V. Kyrychenko
York University - Schulich School of Business and Manulife Asset Management
Downloads 402 (57,806)
Citation 5

Abstract:

Retirement, Pensions, Lifecycle Investing, Longevity Risk

Portfolio Choice with Puts: Evidence from Variable Annuities

Financial Analysts Journal, Vol. 64, No. 3, 2008
Posted: 11 Sep 2008
Moshe A. Milevsky and V. Kyrychenko
York University - Schulich School of Business and Manulife Asset Management

Abstract:

Private Wealth Management, Asset Allocation, Asset Location, Derivative Instruments, Equity Derivatives, Investment Theory, Behavioral Finance

15.

Exchanging Variable Annuities: An Optional Test for Suitability

Number of pages: 16 Posted: 07 Feb 2004
Moshe A. Milevsky and Kamphol Panyagometh
York University - Schulich School of Business and NIDA Business School
Downloads 364 (61,871)

Abstract:

Annuity, income, retirement, portfolio choice

16.

How Long Does the Market Think You Will Live? Implying Longevity from Annuity Prices

Number of pages: 35 Posted: 15 Jan 2014
Alexander Chigodaev, Moshe A. Milevsky and T. S. Salisbury
National Research University Higher School of Economics, York University - Schulich School of Business and York University
Downloads 310 (55,814)

Abstract:

wealth management; retirement planning, insurance, annuities, pensions, longevity, aging and demographics

17.

Yaari's Lifecycle Model in the 21st Century: Consumption Under a Stochastic Force of Mortality

Number of pages: 26 Posted: 22 Apr 2011
Moshe A. Milevsky, Huang Huaxiong and T. S. Salisbury
York University - Schulich School of Business, York University and York University
Downloads 260 (81,496)

Abstract:

Personal Finance, Portfolio Choice, Optimization Techniques

18.

Ruined Moments in Your Life: How Good are the Approximations?

Number of pages: 42 Posted: 07 Feb 2004
Jin Wang, Huang Huaxiong and Moshe A. Milevsky
York University - Schulich School of Business, York University and York University - Schulich School of Business
Downloads 254 (82,474)
Citation 3

Abstract:

Annuity, Income, Retirement, Stochastic Present Value

19.

Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693

Number of pages: 43 Posted: 29 May 2013
Moshe A. Milevsky and T. S. Salisbury
York University - Schulich School of Business and York University
Downloads 246 (61,871)

Abstract:

insurance, retirement, annuities, longevity risk, lifecycle, derivatives, economic history

20.

Complete Market Valuation of the Ruin-Contingent Life Annuity (RCLA)

Number of pages: 35 Posted: 31 Jan 2009
Huang Huaxiong, Moshe A. Milevsky and T. S. Salisbury
York University, York University - Schulich School of Business and York University
Downloads 229 (99,451)

Abstract:

21.

Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About it?

Number of pages: 41 Posted: 07 May 2011
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 214 (95,483)

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

22.

Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting

Number of pages: 37 Posted: 20 Mar 2015
Huang Huaxiong, Moshe A. Milevsky and V.R. Young
York University, York University - Schulich School of Business and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 199 (62,458)

Abstract:

deferred income annuities, stochastic interest rates, optimal stopping, instantaneous control, retirement, pensions

23.

A Derivative Valuation of the Florida Pension Election: From DB to DC and Back

Number of pages: 31 Posted: 03 Feb 2003
Moshe A. Milevsky and David Promislow
York University - Schulich School of Business and York University - Department of Mathematics & Statistics
Downloads 187 (126,584)

Abstract:

Pensions, Insurance, Option Pricing, Asset Allocation, Social Security, Annuities, Longevity

24.

Life Annuities: An Optimal Product for Retirement Income

CFA Institute Research Foundation Monograph
Number of pages: 150 Posted: 01 Mar 2015
Moshe A. Milevsky
York University - Schulich School of Business
Downloads 173 (63,449)

Abstract:

life annuities, retirement

25.

Waiting for Returns: Using Space-Time Duality to Calibrate Financial Diffusions

Number of pages: 24 Posted: 31 Dec 2004
Mark J. Kamstra and Moshe A. Milevsky
York University - Schulich School of Business and York University - Schulich School of Business
Downloads 152 (151,079)

Abstract:

Diffusion, duality, inverse guassian, GBM, First Passage Time

26.

Will Jumps Ruin Your Retirement? A Moment Matching Perspective

Number of pages: 31 Posted: 07 May 2011
Mirela Cara, Huang Huaxiong and Moshe A. Milevsky
York University - Department of Mathematics & Statistics, York University and York University - Schulich School of Business
Downloads 139 (147,157)

Abstract:

Personal Finance, Portfolio Choice, Investment Decisions, Optimization Techniques

27.

Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities

Canadian Tax Journal/Revue Fiscale Canadienne, Forthcoming
Number of pages: 18 Posted: 16 Nov 2014
Moshe A. Milevsky
York University - Schulich School of Business
Downloads 131 (119,658)
Citation 1

Abstract:

Registered Retirement Income Fund (RRIF), Life Cycle Model, Retirement

28.

Portfolio Choice and Mortality-Contingent Claims: The General HARA Case

Journal of Banking and Finance, Vol. 32, No. 11, 2008
Number of pages: 24 Posted: 31 Jan 2009
Huang Huaxiong and Moshe A. Milevsky
York University and York University - Schulich School of Business
Downloads 128 (162,416)

Abstract:

Insurance, Annuities, Finite difference method, Hamilton-Jacobi-Bellman

29.

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities

Journal of Economic Dynamics and Control, Vol. 33, No. 3, 2009
Number of pages: 25 Posted: 31 Jan 2009 Last Revised: 25 Jan 2014
Erhan Bayraktar, Moshe A. Milevsky, S. D. Promislow and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics, York University - Schulich School of Business, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 124 (170,916)
Citation 3

Abstract:

Stochastic mortality, pricing, annuities, Sharpe ratio, non-linear partial differential equations, market price of risk, equivalent martingale measures

30.

Do Markets Like Frozen DB Pensions? An Event Study

Number of pages: 26 Posted: 31 Jan 2009
Moshe A. Milevsky and Keke Song
York University - Schulich School of Business and Dalhousie University - School of Business
Downloads 112 (186,978)
Citation 2

Abstract:

31.

Annuities and Their Derivatives: The Recent Canadian Experience

Pension Research Council Working Paper No. 2010-16
Number of pages: 24 Posted: 11 Nov 2010
Moshe A. Milevsky and Ling Wu Shao
York University - Schulich School of Business and York University - Schulich School of Business
Downloads 111 (161,460)
Citation 2

Abstract:

Annuity, Income, Canada, Products, Insurance, Variable, Withdrawl, Retirement, Longevity, Mortality

32.

Portfolio Choice and Longevity Risk in the Late Seventeenth Century. A Re-Examination of the First English Tontine

Netspar Discussion Paper No. 06/2014-029
Number of pages: 67 Posted: 23 Jul 2014
Moshe A. Milevsky
York University - Schulich School of Business
Downloads 92 (170,916)

Abstract:

annuities, pensions, mortality-contingent claims, financial revolution

33.

DB to DC and Back: Valuation of the Florida Pension Election

Number of pages: 34 Posted: 02 Jan 2004
David Promislow and Moshe A. Milevsky
York University - Department of Mathematics & Statistics and York University - Schulich School of Business
Downloads 69 (257,885)
Citation 3

Abstract:

Pensions, Insurance, Option Pricing, Asset Allocation, Social Security, Annuities, Longevity

34.

Research Foundation Year in Review -- 2013

CFA Institute Research Foundation R2014
Number of pages: 90 Posted: 11 Jun 2015
CFA Institute Research Foundation, York University - Schulich School of Business, Ensign Peak Advisors, Analytic Investors, Inc., Brigham Young University - J. Willard and Alice S. Marriott School of Management, Boston University - Questrom School of Business, Arizona State University, Ryan ALM, Inc., University of Warwick - Finance Group, University College London (UCL), Independent, CFA Institute Research Foundation, CFA Institute Research Foundation, Allocationmetrics Limited, Independent, Barclays and Target Corporation
Downloads 41 (266,179)

Abstract:

life annuities, futures, options, manager selection, ethics, ALM, asset/liability management, tail risk

35.

Asset Allocation and Annuity-Purchase Strategies to Minimize the Probability of Financial Ruin

Mathematical Finance, Vol. 16, No. 4, pp. 647-671, October 2006
Number of pages: 25 Posted: 31 Aug 2006
Moshe A. Milevsky, Kristen Moore and V.R. Young
York University - Schulich School of Business, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 20 (436,052)
Citation 7

Abstract:

36.

Florida's Pension Election: From DB to DC and Back

Journal of Risk and Insurance, Vol. 71, No. 3, pp. 381-404, September 2004
Number of pages: 24 Posted: 15 Sep 2004
Moshe A. Milevsky and David Promislow
York University - Schulich School of Business and York University - Department of Mathematics & Statistics
Downloads 18 (446,531)
Citation 3

Abstract:

37.

Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio

Journal of Risk & Insurance, Vol. 73, No. 4, pp. 673-686, December 2006
Number of pages: 14 Posted: 29 Nov 2006
Moshe A. Milevsky, S. D. Promislow and V.R. Young
York University - Schulich School of Business, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 16 (456,864)
Citation 6

Abstract:

38.

Do Markets Like Frozen Defined Benefit Pensions? An Event Study

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 893-909, December 2010
Number of pages: 17 Posted: 16 Nov 2010
Moshe A. Milevsky and Keke Song
York University - Schulich School of Business and Dalhousie University - School of Business
Downloads 2 (531,242)
Citation 4

Abstract:

39.

Approximate Solutions to Retirement Spending Problems and the Optimality of Ruin

Number of pages: 17 Posted: 31 Mar 2017 Last Revised: 10 Apr 2017
Faisal Habib, Huang Huaxiong and Moshe A. Milevsky
York University - Schulich School of Business, York University and York University - Schulich School of Business
Downloads 0 (297,678)

Abstract:

Dynamic Programming; Stochastic Control; HJB; Consumption; Retirement; Pension; Withdrawal Rate; Spending Rate; Portfolio Choice; Decumulation; Withdrawal Strategy; Wealth Depletion Time

40.

Retirement Spending and Biological Age

Number of pages: 34 Posted: 16 Feb 2017
Huang Huaxiong, Moshe A. Milevsky and T. S. Salisbury
York University, York University - Schulich School of Business and York University
Downloads 0 (34,775)

Abstract:

Wealth Management, Retirement Planning, Insurance, Annuities, Pensions, Longevity, Aging and Demographics

41.

The Implied Longevity Curve: How Long Does the Market Think You Are Going to Live?

Journal of Investment Consulting, Vol. 17, No. 1, p. 11-21, 2016
Number of pages: 14 Posted: 24 Oct 2016
Moshe A. Milevsky, T. S. Salisbury and Alexander Chigodaev
York University - Schulich School of Business, York University and National Research University Higher School of Economics
Downloads 0 (288,107)

Abstract:

Wealth Management, Retirement Planning, Insurance, Annuities, Pensions, Longevity, Aging and Demographics

42.

The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 519-555, 2016
Number of pages: 37 Posted: 09 Aug 2016
Narat Charupat, Mark J. Kamstra and Moshe A. Milevsky
McMaster University - DeGroote School of Business, York University - Schulich School of Business and York University - Schulich School of Business
Downloads 0 (553,475)

Abstract:

43.

Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating

Number of pages: 33 Posted: 09 Dec 2015
Moshe A. Milevsky and T. S. Salisbury
York University - Schulich School of Business and York University
Downloads 0 (191,730)

Abstract:

annuities, pensions, mortality-contingent claims, financial revolution

44.

Valuation and Hedging of the Ruinā€Contingent Life Annuity (Rcla)

Journal of Risk and Insurance, Vol. 81, Issue 2, pp. 367-395, 2014
Number of pages: 30 Posted: 17 May 2014
H. Huang, Moshe A. Milevsky and T. S. Salisbury
York University, York University - Schulich School of Business and York University
Downloads 0 (553,475)
Citation 1

Abstract:

45.

Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 12 Apr 2011
Moshe A. Milevsky and Huang Huaxiong
York University - Schulich School of Business and York University

Abstract:

Private Wealth Management: Investment Vehicles and Asset Class Exposures, Influence of Risk and Taxes in Retirement Products, Risk Management, Longevity Risk

46.

A Sustainable Spending Rate without Simulation

Financial Analysts Journal, Vol. 61, No. 6, pp. 89-100, November/December 2005
Posted: 30 Dec 2005
Moshe A. Milevsky and Chris A. Robinson
York University - Schulich School of Business and York University - Schulich School of Business

Abstract:

Private Wealth Management, Asset Allocation, Portfolio Management, Asset/Liability Management, Investment Policy

47.

The Erosion of GIC Returns by Income Taxes and Inflation

Canadian Tax Journal, Vol. 52, No. 4, p. 1057, 2004
Posted: 24 Jun 2005
Amin Mawani, Moshe A. Milevsky and Josh Landzberg
York University - Department of Accounting, York University - Schulich School of Business and York University - Schulich School of Business

Abstract:

Inflation, indexing, interest income

48.

Is There a Tax-Induced January Effect In the Canadian Equity Options Market?

Posted: 20 Dec 1998
Moshe A. Milevsky and Eliezer Z. Prisman
York University - Schulich School of Business and York University - Schulich School of Business

Abstract:

49.

Valuing Exotic Options by Approximating the SPD with Higher Moments

The Journal of Financial Engineering, Vol. 7, No. 2, June 1998
Posted: 10 Aug 1998
Steven E. Posner and Moshe A. Milevsky
Morgan Stanley - United Kingdom Office and York University - Schulich School of Business

Abstract:

50.

Asian Options, the Sum of Lognormals and the Reciprocal Gamma Distribution

Journal of Financial and Quantitative Analysis, September 1998
Posted: 10 Aug 1998
Moshe A. Milevsky and Steven E. Posner
York University - Schulich School of Business and Morgan Stanley - United Kingdom Office

Abstract:

51.

Is Random Time Diversification a Substitute for Static Space Diversification?

SSB-96-01
Posted: 25 Jun 1998
Moshe A. Milevsky and Steven E. Posner
York University - Schulich School of Business and Morgan Stanley - United Kingdom Office

Abstract:

52.

The Optimal Choice of Index-Linked GICs: Some Canadian Evidence

Financial Services Review, Vol 6, No 4, Fall 1997
Posted: 16 Jun 1998
Moshe A. Milevsky and Sharon Kim
York University - Schulich School of Business and affiliation not provided to SSRN

Abstract:

53.

Space-Time Diversification: Which Dimension is Better?

SSB-07-97
Posted: 02 Apr 1997
Moshe A. Milevsky
York University - Schulich School of Business

Abstract:

54.

An Empirical Examination of the Geometric Brownian Motion Hypothesis Via the Space-Time Duality of a Stochastic Process

Posted: 04 Aug 1995
Moshe A. Milevsky
York University - Schulich School of Business

Abstract:

Hedging and Pricing with Tax Law Uncertainty: Managing Under an Arkansas Best Doctrine

Posted: 08 Feb 1995
Moshe A. Milevsky and Eliezer Z. Prisman
York University - Schulich School of Business and York University - Schulich School of Business

Abstract:

Hedging and Pricing with Tax Law Uncertainty: Managing Under an Arkansas Best Doctrine

The Quarterly Review Of Economics and Finance
Posted: 18 Dec 1997
Moshe A. Milevsky and Eliezer Z. Prisman
York University - Schulich School of Business and York University - Schulich School of Business

Abstract:

Other Papers (1)

Total Downloads: 90    Citations: 0
1.

Implied Life Credits: A Financial Index for Life Annuities

Number of pages: 25 Posted: 31 Jan 2004
Moshe A. Milevsky
York University - Schulich School of Business
Downloads 81

Abstract:

Pensions, Financial Index, Insurance, Self-Annuitization, Investments