Raimond Maurer

Goethe University Frankfurt - Finance Department

Grüneburgplatz 1

House of Finance

Frankfurt, 60323

Germany

SCHOLARLY PAPERS

62

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179

CROSSREF CITATIONS

136

Scholarly Papers (62)

1.

Institutional Investors in Germany: Insurance Companies and Investment Funds

CFS Working Paper No. 2003/14
Number of pages: 41 Posted: 27 Jul 2003
Raimond Maurer
Goethe University Frankfurt - Finance Department
Downloads 1,159 (18,450)
Citation 3

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Institutional Investors, Insurance Companies, Investment Funds, Regulation, Pension

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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How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior

SAFE Working Paper No. 190
Number of pages: 21 Posted: 06 Nov 2019
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 534 (53,406)

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Dynamic Portfolio Choice, 401(K) Plan, Saving, Social Security Claiming Age, Retirement Income, Minimum Distribution Requirements, Tax

How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior

NBER Working Paper No. w24311
Number of pages: 19 Posted: 06 Jun 2018
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 3 (691,599)

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4.

How Much Foreign Stocks? Bayesian Approaches to Asset Allocation Can Explain the Home Bias of Us Investors

EFA 2003 Annual Conference Paper No. 207
Number of pages: 31 Posted: 23 Jul 2003
Ulf Herold and Raimond Maurer
Metzler Investment GmbH and Goethe University Frankfurt - Finance Department
Downloads 470 (63,383)

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portfolio selection, asset-pricing models, Bayesian inference, estimation risk, international diversification

5.

Dynamic Asset Allocation under Regime Switching, Predictability and Parameter Uncertainty

Number of pages: 39 Posted: 22 Oct 2012 Last Revised: 28 Mar 2013
Huy Thanh Vo and Raimond Maurer
Goethe University Frankfurt, Finance Department and Goethe University Frankfurt - Finance Department
Downloads 376 (82,623)
Citation 1

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Portfolio choice, Gibbs sampling, Dividend price ratio, Estimation risk

6.

Hedonic Price Indices for the Paris Housing Market

Allgemeines Statistisches Archiv (Journal of the German Statistical Society), Forthcoming
Number of pages: 24 Posted: 30 Mar 2006 Last Revised: 03 Nov 2011
Raimond Maurer, Martin Pitzer and Steffen P. Sebastian
Goethe University Frankfurt - Finance Department, Morgan Stanley and University of Regensburg - International Real Estate Business School (IREBS)
Downloads 346 (90,916)

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Real estate investments, hedonic, index construction, Box-Cox transformation

7.

Functional Ross Recovery: Theoretical Results and Empirical Tests

Journal of Economic Dynamics and Control, Volume 108, November 2019, 103750
Number of pages: 61 Posted: 27 Jun 2017 Last Revised: 18 Feb 2020
Yannick Dillschneider and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 332 (95,211)
Citation 1

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Ross recovery, pricing kernel, state price density, Perron-Frobenius theory

8.

Efficient Parallel Solution Methods for Dynamic Portfolio Choice Models in Discrete Time

Number of pages: 28 Posted: 01 May 2018
Vanya Horneff, Raimond Maurer and Peter Schober
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 244 (132,713)
Citation 4

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Dynamic Portfolio Choice, Discrete Time Dynamic Programming, Parallelization, High Performance Computing

9.

The Private Life Annuity Market in Germany: Products and Money’s Worth Ratios

Pension Research Council Working Paper No. 2010-20
Number of pages: 42 Posted: 11 Nov 2010
Barbara Somova and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 228 (141,230)

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Annuity, Insurance, Germany, Mortality, Products, Payout, Ratio, Scheme, Guarantee

10.

Reforming German Civil Servant Pensions: Funding Policy, Investment Strategy, and Intertemporal Risk Budgeting

Pension Research Council Working Paper No. 2008-09
Number of pages: 36 Posted: 09 Jul 2008
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 201 (159,167)
Citation 6

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11.

Investment Risks and Returns of Hybrid Pension Plans: Sponsor and Member Perspectives

Number of pages: 34 Posted: 21 Sep 2006
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, European Central Bank - Risk Management Division, Goethe University Frankfurt - Finance Department and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 189 (168,414)
Citation 2

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Pension Plans, Investment Risks

Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

Pension Research Council WP 2009-04
Number of pages: 33 Posted: 28 May 2009 Last Revised: 26 Nov 2011
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 88 (304,946)
Citation 8

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Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

Michigan Retirement Research Center Research Paper No. 2009-204
Number of pages: 34 Posted: 24 Sep 2009
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 70 (349,833)
Citation 7

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Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

NBER Working Paper No. w15079
Number of pages: 33 Posted: 16 Jun 2009 Last Revised: 15 Sep 2010
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 27 (521,088)

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13.

Deferred Annuities and Strategic Asset Allocation

Michigan Retirement Research Center Research Paper No. 2008-178
Number of pages: 28 Posted: 20 Oct 2008
Wolfram J. Horneff and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 174 (181,342)
Citation 4

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14.

Experience, Loss Aversion, Narrow Framing: Can We Explain the Empirical Evidence on Household Portfolio Choice Over the Life-Cycle?

Number of pages: 34 Posted: 20 Mar 2012 Last Revised: 09 Oct 2012
Jingjing Chai and Raimond Maurer
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
Downloads 173 (182,290)
Citation 1

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Portfolio Choice, Household Finance, Stock Market Participation, Wealth Effect, Narrow Framing, Loss Aversion, Experience

15.

Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparison to the U.S. And U.K.

Journal of Real Estate Portfolio Management, Vol. 10, No. 1, 2004
Number of pages: 18 Posted: 13 Dec 2008
Raimond Maurer, Frank Reiner and Steffen P. Sebastian
Goethe University Frankfurt - Finance Department, Goethe University Frankfurt and University of Regensburg - International Real Estate Business School (IREBS)
Downloads 171 (184,090)

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16.

Participating Payout Life Annuities: Lessons from Germany

Pension Research Council WP No. 2012-03
Number of pages: 34 Posted: 05 Jun 2012 Last Revised: 05 Apr 2013
Raimond Maurer, Ralph Rogalla and Ivonne Siegelin
Goethe University Frankfurt - Finance Department, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt
Downloads 155 (200,214)
Citation 7

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Putting the Pension Back in 401(K) Plans: Optimal Versus Default Longevity Income Annuities

SAFE Working Paper No. 150
Number of pages: 41 Posted: 19 Oct 2016
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 117 (250,918)
Citation 1

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dynamic portfolio choice, longevity risk, variable annuity, retirement income

Putting the Pension Back in 401(K) Plans: Optimal Versus Default Longevity Income Annuities

NBER Working Paper No. w22717
Number of pages: 38 Posted: 10 Oct 2016
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 27 (521,088)

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The Effect of Uncertain Labor Income and Social Security on Life-Cycle Portfolios

Pension Research Council WP 2009-06
Number of pages: 22 Posted: 06 Jul 2009
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 114 (255,589)

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The Effect of Uncertain Labor Income and Social Security on Life-Cycle Portfolios

NBER Working Paper No. w15682
Number of pages: 21 Posted: 25 Jan 2010 Last Revised: 06 Feb 2010
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 22 (553,201)

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19.

Technical Review Panel for the Pension Insurance Modeling System (PIMS)

Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32
Number of pages: 265 Posted: 11 Jan 2014
University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School, Finance Department, Simon Business School, University of Rochester, Goethe University Frankfurt - Finance Department, Mercer Human Resource Consulting, Independent, Independent, Independent, EDHEC Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 127 (234,902)

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pensions, insurance

Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply

Michigan Retirement Research Center Research Paper No. WP 2011-246
Number of pages: 33 Posted: 17 Nov 2011
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 62 (373,601)

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retirement, financial crisis, retirement savings, labor supply

Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply

Netspar Discussion Paper No. 06/2011-051
Number of pages: 38 Posted: 01 Jul 2011 Last Revised: 26 Nov 2011
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 40 (455,112)
Citation 1

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Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply

NBER Working Paper No. w17134
Number of pages: 37 Posted: 20 Jun 2011
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 22 (553,201)

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21.

Putting the Pension Back in 401(k) Retirement Plans: Optimal versus Default Longevity Income Annuities

Center for Financial Studies Working Paper No. 607
Number of pages: 43 Posted: 16 Dec 2018
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 123 (242,066)
Citation 1

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life cycle saving, household finance, annuity, longevity risk, 401(k) plan, retirement

22.

The Victory of Hope Over Angst? Funding, Asset Allocation, and Risk-Taking in German Public Sector Pension Reform

Pension Research Council Paper No. WP2007-8
Number of pages: 38 Posted: 11 Apr 2007
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 123 (240,600)
Citation 1

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Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion

NBER Working Paper No. w12392
Number of pages: 29 Posted: 03 Aug 2006 Last Revised: 25 May 2007
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and University of Frankfurt
Downloads 120 (246,163)

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Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion

Pension Research Council (PRC) Working Paper
Posted: 17 Jul 2006
Goethe University Frankfurt - Department of Finance, University of Pennsylvania - The Wharton School, Goethe University Frankfurt - Finance Department and University of Frankfurt

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Optimizing the Retirement Portfolio: Asset Allocation, Annuitization, and Risk Aversion

Michigan Retirement Research Center Research Paper No. WP 2006-124
Posted: 19 Feb 2008
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and University of Frankfurt

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24.

Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities Versus Phased Withdrawal Plans

Michigan Retirement Research Center Research Paper No. WP 2003-063
Number of pages: 44 Posted: 12 Feb 2008
Ivica Dus, Raimond Maurer and Olivia S. Mitchell
University of Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 113 (255,979)
Citation 30

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25.

Inflation Risk Analysis of European Real Estate Securities

Journal of Real Estate Research, Vol. 24, No. 1, 2002
Number of pages: 31 Posted: 12 Dec 2008
Steffen P. Sebastian and Raimond Maurer
University of Regensburg - International Real Estate Business School (IREBS) and Goethe University Frankfurt - Finance Department
Downloads 112 (257,553)

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Time Discounting and Economic Decision-Making Among the Elderly

Michigan Retirement Research Center Research Paper No. 2016-347, Wharton Pension Research Council Working Paper No. 2016-05
Number of pages: 41 Posted: 14 Dec 2016
David Huffman, Raimond Maurer and Olivia S. Mitchell
IZA Institute of Labor Economics, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 67 (358,540)
Citation 2

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impatience, time preference, self-control, retirement, health, insurance

Time Discounting and Economic Decision-Making Among the Elderly

NBER Working Paper No. w22438
Number of pages: 40 Posted: 25 Jul 2016
David Huffman, Raimond Maurer and Olivia S. Mitchell
IZA Institute of Labor Economics, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 31 (498,208)
Citation 1

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Time Is Money: Rational Life Cycle Inertia and the Delegation of Investment Management

Journal of Financial Economics (JFE), Forthcoming, Pension Research Council PRC WP2013-33
Number of pages: 63 Posted: 07 Nov 2013 Last Revised: 02 Mar 2019
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 64 (367,371)
Citation 19

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Time is Money: Life Cycle Rational Inertia and Delegation of Investment Management

NBER Working Paper No. w19732
Number of pages: 57 Posted: 13 Dec 2013
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 33 (487,840)

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Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection

Michigan Retirement Research Center Research Paper No. 2013-286
Number of pages: 43 Posted: 06 Aug 2013 Last Revised: 03 Sep 2013
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 85 (311,726)
Citation 10

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dynamic portfolio choice, variable annuity, retirement income

Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection

NBER Working Paper No. w19206
Number of pages: 41 Posted: 12 Jul 2013
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 12 (623,064)

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29.

Stable Return-Based Fund Classification

Number of pages: 41 Posted: 14 Sep 2016 Last Revised: 13 May 2017
Philipp Gerlach and Raimond Maurer
Goethe University Frankfurt and Goethe University Frankfurt - Finance Department
Downloads 88 (302,464)

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Finance, Investment Analysis, Mutual Funds, Clustering, Return-Based Fund Classification

How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios

Michigan Retirement Research Center Research Paper No. 2013-293
Number of pages: 50 Posted: 11 Jan 2014
Andreas Hubener, Raimond Maurer and Olivia S. Mitchell
Goethe University Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 57 (389,930)
Citation 11

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Social Security claiming, retirement planning, retirement savings, life insurance

How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios

Pension Research Council WP 2013-32
Number of pages: 48 Posted: 07 Nov 2013
Andreas Hubener, Raimond Maurer and Olivia S. Mitchell
Goethe University Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 20 (566,541)

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How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios

NBER Working Paper No. w19583
Number of pages: 48 Posted: 25 Oct 2013
Andreas Hubener, Raimond Maurer and Olivia S. Mitchell
Goethe University Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 7 (659,722)

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31.

Dynamic Asset Allocation with Regime Shifts and Long Horizon CVaR-Constraints

Number of pages: 40 Posted: 19 Dec 2012 Last Revised: 28 Mar 2013
Huy Thanh Vo and Raimond Maurer
Goethe University Frankfurt, Finance Department and Goethe University Frankfurt - Finance Department
Downloads 79 (322,949)

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term structure models, downside risk constraints

32.

Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities

NBER Working Paper No. w11271
Number of pages: 39 Posted: 31 May 2005
Ivica Dus, Raimond Maurer and Olivia S. Mitchell
University of Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 79 (322,949)

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Optimal Social Security Claiming Behavior Under Lump Sum Incentives: Theory and Evidence

SAFE Working Paper No. 164
Number of pages: 36 Posted: 18 Jan 2017 Last Revised: 06 Feb 2017
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt - Department of Finance
Downloads 55 (396,797)

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Annuity, delayed retirement, lifetime income, pension, early retirement, Social Security

Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence

CFS Working Paper, No. 629, 2019
Number of pages: 39 Posted: 06 Nov 2019
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt - Department of Finance
Downloads 18 (580,391)

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Retirement, annuity, delayed claiming, pension, early retirement, Social Security

Optimal Social Security Claiming Behavior Under Lump Sum Incentives: Theory and Evidence

NBER Working Paper No. w23073
Number of pages: 32 Posted: 23 Jan 2017
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt - Department of Finance
Downloads 4 (682,802)

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How Cognitive Ability and Financial Literacy Shape the Demand for Financial Advice at Older Ages

Wharton Pension Research Council Working Paper No. 2020-02
Number of pages: 19 Posted: 22 Apr 2019
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 62 (373,601)

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financial advice, cognitive ability, financial literacy, aging, money management, Health and Retirement Study

How Cognitive Ability and Financial Literacy Shape the Demand for Financial Advice at Older Ages

NBER Working Paper No. w25750
Number of pages: 20 Posted: 15 Apr 2019
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 12 (623,064)
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35.

Dynamic Return-Based Classification of European Mutual Funds

Number of pages: 46 Posted: 15 Aug 2015
Philipp Gerlach and Raimond Maurer
Goethe University Frankfurt and Goethe University Frankfurt - Finance Department
Downloads 74 (335,329)

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Fund Migrations, Hierarchical K-Means, Mutual Funds, Return-Based Classification, Transition Probabilities

36.

Implications of Optimal Investment Policies for Hybrid Pension Plans: Sponsor and Member Perspectives

Pension Research Council WP2005-11
Number of pages: 34 Posted: 02 Nov 2005
Goethe University Frankfurt - Finance Department, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, European Central Bank - Risk Management Division and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 65 (359,756)

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Accounting and Actuarial Smoothing of Retirement Payouts in Participating Life Annuities

Pension Research Council WP 2014-02
Number of pages: 45 Posted: 12 Nov 2014
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt
Downloads 54 (400,233)
Citation 5

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Accounting and Actuarial Smoothing of Retirement Payouts in Participating Life Annuities

NBER Working Paper No. w20124
Number of pages: 45 Posted: 19 May 2014
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt
Downloads 5 (674,955)

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38.

Accounting-Based Asset Return Smoothing in Participating Life Annuities: Implications for Annuitants, Insurers, and Policymakers

CFS Working Paper No. 518
Number of pages: 23 Posted: 23 Sep 2015
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt
Downloads 55 (390,731)

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39.

Older People's Willingness to Delay Social Security Claiming

SAFE Working Paper No. 170
Number of pages: 31 Posted: 05 Apr 2017
Raimond Maurer and Olivia S. Mitchell
Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 52 (400,705)

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40.

The Growing Importance of Secondary Market Activities for Open-End Real Estate Fund Shares in Germany

Schmalenbach Business Review (forthcoming)
Number of pages: 44 Posted: 20 Sep 2018 Last Revised: 20 Feb 2020
Philipp Gerlach and Raimond Maurer
Goethe University Frankfurt and Goethe University Frankfurt - Finance Department
Downloads 50 (407,577)

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Open-end Real Estate Funds, Secondary Market, Trading Restrictions, NAV-Price-Spread

Exchanging Delayed Social Security Benefits for Lump Sums: Could this Incentivize Longer Work Careers?

Michigan Retirement Research Center Research Paper No. 2012-266
Number of pages: 34 Posted: 28 Mar 2013
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 32 (493,004)
Citation 1

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Social Security, retirement age, lump sum pension

Exchanging Delayed Social Security Benefits for Lump Sums: Could this Incentivize Longer Work Careers?

NBER Working Paper No. w19032
Number of pages: 31 Posted: 11 May 2013
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 8 (652,366)

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How Would 401(k) ‘Rothification’ Alter Saving, Retirement Security, and Inequality?

Michigan Retirement Research Center Research Paper No. MRDRC WP 2019-398, UM19-12 , Wharton Pension Research Council Working Paper No. 2019-20
Number of pages: 36 Posted: 08 Nov 2019 Last Revised: 05 Mar 2020
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 36 (473,220)

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pension taxation; 401(k) plan; retirement; saving; Social Security claiming; retirement income; minimum distribution requirements; inequality

How Would 401(K) ‘Rothification’ Alter Saving, Retirement Security, and Inequality?

NBER Working Paper No. w26437
Number of pages: 36 Posted: 11 Nov 2019
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 3 (691,599)
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Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 34 Posted: 26 Aug 2008 Last Revised: 26 Nov 2011
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 20 (566,541)

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Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of Cvar Cost Constraints

NBER Working Paper No. w14332
Number of pages: 34 Posted: 15 Sep 2008 Last Revised: 31 Aug 2010
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
Downloads 19 (573,492)

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44.

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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Implications of Money-Back Guarantees for Individual Retirement Accounts: Protection Then and Now

SAFE Working Paper No. 263 (2019), Wharton Pension Research Council Working Paper No. 2019-19
Number of pages: 59 Posted: 23 Oct 2019
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 34 (482,813)

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individual retirement account, investment guarantee, longevity risk, retirement income, life cycle model

Implications of Money-Back Guarantees for Individual Retirement Accounts: Protection then and Now

NBER Working Paper No. w26406
Number of pages: 58 Posted: 30 Oct 2019
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
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46.

Dynamic Portfolio Choice with Annuities When the Interest Rate Is Stochastic

Number of pages: 35 Posted: 06 Sep 2019 Last Revised: 17 Jan 2020
Yannick Dillschneider, Raimond Maurer and Peter Schober
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
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Annuity risk, deferred life annuities, dynamic portfolio choice, interest rate risk

47.

Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities

NBER Working Paper No. w17505
Number of pages: 35 Posted: 14 Oct 2011
Goethe University Frankfurt, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science
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48.

Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models

Number of pages: 25 Posted: 20 Sep 2019 Last Revised: 12 Feb 2020
Yannick Dillschneider, Raimond Maurer and Peter Schober
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
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Dynamic portfolio choice, discrete time dynamic programming, Euler equation errors, gradient-based optimization

49.

Will They Take the Money and Work? An Empirical Analysis of People's Willingness to Delay Claiming Social Security Benefits for a Lump Sum

NBER Working Paper No. w20614
Number of pages: 38 Posted: 27 Oct 2014
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt - Department of Finance
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50.

How Will Persistent Low Expected Returns Shape Household Economic Behavior?

NBER Working Paper No. w25133
Number of pages: 22 Posted: 08 Oct 2018
Vanya Horneff, Raimond Maurer and Olivia S. Mitchell
Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
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51.

Older Peoples’ Willingness to Delay Social Security Claiming

NBER Working Paper No. w22942
Number of pages: 27 Posted: 19 Dec 2016
Raimond Maurer and Olivia S. Mitchell
Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
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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
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors
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Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities

Posted: 10 Mar 2006 Last Revised: 25 Jul 2008
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
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

53.

Return-Based Classification of Absolute Return Funds

Journal of Asset Management (2015) 16, 117–130.
Posted: 08 Nov 2013 Last Revised: 19 May 2015
Philipp Gerlach and Raimond Maurer
Goethe University Frankfurt and Goethe University Frankfurt - Finance Department

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Absolute Return Funds, Return-Based Classification, Style Analysis

54.

Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment — Linked Deferred Annuities

Journal of Risk and Insurance, Vol. 80, Issue 3, pp. 649-676, 2013
Number of pages: 28 Posted: 30 Aug 2013
Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial Science and Goethe University Frankfurt
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55.

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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56.

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
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department and Allianz Global Investors

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57.

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

Journal of Portfolio Management, Vol. 33, No. 2, 2007
Posted: 25 Oct 2007
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

58.

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
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

59.

Tactical Asset Allocation and Estimation Risk

Financial Markets and Portfolio Management, Vol. 18, No. 1, pp. 39-57, 2004
Posted: 12 Sep 2005
Raimond Maurer and Ulf Herold
Goethe University Frankfurt - Finance Department and Metzler Investment GmbH

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60.

Shortfall-Risks of Stocks in the Long Run

Financial Markets and Portfolio Management, Vol. 15, No. 4, 2001
Posted: 03 Sep 2005
Raimond Maurer, Peter Albrecht and Ulla Ruckpaul
Goethe University Frankfurt - Finance Department, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim

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61.

Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards Versus Currency Options

EFMA 2004 Basel Meetings Paper
Posted: 02 May 2004
Raimond Maurer and Shohreh Valiani
Goethe University Frankfurt - Finance Department and University of Frankfurt

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International Portfolio Diversification, Currency Hedging, FX Derivatives, Shortfall Risk

62.

Bayesian Asset Allocation and U.S. Domestic Bias

Financial Analysts Journal, Vol. 59, No. 6, pp. 54-65, November/December 2003
Posted: 25 Jan 2004
Ulf Herold and Raimond Maurer
Metzler Investment GmbH and Goethe University Frankfurt - Finance Department

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Portfolio Management, asset allocation, Investment Theory, CAPM, APT, and other pricing theories