Michael Z. Stamos

Allianz Global Investors

Portfolio Manager

Mainzer Landstrasse 11-13

Frankfurt, 60329

Germany

SCHOLARLY PAPERS

10

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Top 36,310

in Total Papers Downloads

1,292

SSRN CITATIONS
Rank 12,806

SSRN RANKINGS

Top 12,806

in Total Papers Citations

25

CROSSREF CITATIONS

51

Scholarly Papers (10)

Money in Motion: Dynamic Portfolio Choice in Retirement

Pension Research Council Working Paper No. 2007-7, Michigan Retirement Research Center Research Paper No. WP 2007-152, 20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 34 Posted: 15 Feb 2007
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and Allianz Global Investors
Downloads 498 (58,328)
Citation 3

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Money in Motion: Dynamic Portfolio Choice in Retirement

NBER Working Paper No. w12942
Number of pages: 32 Posted: 24 Feb 2007
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and Allianz Global Investors
Downloads 69 (352,620)

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2.

The Performance of Equity Index Option Strategy Returns During the Financial Crisis

Number of pages: 35 Posted: 07 Oct 2015 Last Revised: 01 Dec 2015
Dominik Schulte and Michael Z. Stamos
University of Augsburg and Allianz Global Investors
Downloads 427 (71,179)

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Option strategies, index options, performance measurement

3.

Optimal Life Cycle Portfolio Choice with Housing Market Cycles

Review of Financial Studies 26(9), 2311-2352
Number of pages: 56 Posted: 21 Nov 2010 Last Revised: 12 Aug 2013
Marcel Fischer and Michael Z. Stamos
Copenhagen Business School and Allianz Global Investors
Downloads 192 (166,045)
Citation 5

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asset allocation, portfolio choice, housing market cycles, real estate

Optimal Dynamic Consumption and Portfolio Choice for Pooled Annuity Funds

Number of pages: 35 Posted: 22 Mar 2007
Michael Z. Stamos
Allianz Global Investors
Downloads 66 (361,344)
Citation 9

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Dynamic Consumption and Portfolio Choice, Mortality Risk, Pooling, Insurance, Jump Risk, HJB, Finite Differences

Optimal Dynamic Consumption and Portfolio Choice for Pooled Annuity Funds

Insurance: Mathematics and Economics, Forthcoming
Posted: 25 Oct 2007
Michael Z. Stamos
Allianz Global Investors

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Dynamic Consumption and Portfolio Choice, Mortality Risk, Pooling, Insurance, Jump Risk, HJB, Finite Differences

5.

Asset Allocation and Location Over the Life Cycle with Survival-Contingent Payouts

NBER Working Paper No. w14055
Number of pages: 31 Posted: 09 Jun 2008 Last Revised: 10 Jun 2008
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and Allianz Global Investors
Downloads 38 (454,040)
Citation 3

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Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities

Journal of Risk & Insurance, Vol. 75, Issue 4, pp. 1019-1038, December 2008
Number of pages: 20 Posted: 07 Nov 2008
Wolfram J. Horneff, Raimond Maurer and Michael Z. Stamos
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors
Downloads 2 (702,451)
Citation 2
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Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities

Posted: 10 Mar 2006 Last Revised: 25 Jul 2008
Wolfram J. Horneff, Raimond Maurer and Michael Z. Stamos
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors

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Portfolio Choice, Dynamic Asset Allocation, Insurance, Annuities, Pensions, Retirement, Retirement Policies

Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities

Journal of Risk and Insurance, 2007
Posted: 25 Oct 2007
Wolfram J. Horneff, Raimond Maurer and Michael Z. Stamos
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors

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Portfolio Choice, Dynamic Asset Allocation, Insurance, Annuities, Pensions, Retirement, Retirement Policies

7.

Variable Payout Annuities and Dynamic Portfolio Choice in Retirement

Journal of Pension Economics and Finance, 2009
Posted: 31 Mar 2009
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and Allianz Global Investors

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8.

Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?

Michigan Retirement Research Center Research Paper No. WP 2006-146
Posted: 21 Feb 2008
Wolfram J. Horneff, Raimond Maurer and Michael Z. Stamos
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors

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9.

Total Return Strategies for Multi-Asset Portfolios: Dynamically Managing Portfolio Risk

Journal of Portfolio Management, Vol. 33, No. 2, 2007
Posted: 25 Oct 2007
Ulf Herold, Raimond Maurer, Michael Z. Stamos and Huy Thanh Vo
Metzler Investment GmbH, Goethe University Frankfurt - Finance Department, Allianz Global Investors and Goethe University Frankfurt, Finance Department

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shortfall risk, total return strategies, portfolio insurance, rainbow options

10.

Life-Cycle Asset Allocation with Annuity Markets

Journal of Economic Dynamics and Control, Volume 32, Issue 11, November 2008, Pages 3590–3612
Posted: 16 Jun 2006 Last Revised: 10 Dec 2015
Wolfram J. Horneff, Raimond Maurer and Michael Z. Stamos
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors

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Household Finance, Dynamic Consumption and Portfolio Choice, Life-Cycle Theory, Life Annuities, Real Option