Raimond Maurer

Goethe University Frankfurt - Finance Department

Grüneburgplatz 1

House of Finance

Frankfurt, 60323

Germany

SCHOLARLY PAPERS

67

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8,884

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Top 3,178

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282

CROSSREF CITATIONS

141

Scholarly Papers (67)

1.

Institutional Investors in Germany: Insurance Companies and Investment Funds

Number of pages: 41 Posted: 27 Jul 2003
Raimond Maurer
Goethe University Frankfurt - Finance Department
Downloads 1,215 (21,820)
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 512 (69,908)
Citation 5

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Money in Motion: Dynamic Portfolio Choice in Retirement

Number of pages: 32 Posted: 24 Feb 2007 Last Revised: 13 Nov 2021
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and Allianz Global Investors
Downloads 70 (418,408)

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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 566 (61,580)

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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

Number of pages: 19 Posted: 06 Jun 2018 Last Revised: 06 Jun 2021
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 6 (789,247)

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4.

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

Number of pages: 31 Posted: 23 Jul 2003
Ulf Herold and Raimond Maurer
Metzler Investment GmbH and Goethe University Frankfurt - Finance Department
Downloads 479 (76,606)

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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 395 (96,018)
Citation 1

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

6.

Functional Ross Recovery: Theoretical Results and Empirical Tests

Journal of Economic Dynamics and Control, Volume 108, November 2019, 103750
Number of pages: 58 Posted: 27 Jun 2017 Last Revised: 14 Nov 2020
Yannick Dillschneider and Raimond Maurer
University of Amsterdam - Amsterdam School of Economics (ASE) and Goethe University Frankfurt - Finance Department
Downloads 391 (97,199)
Citation 4

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

7.

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 353 (109,113)

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

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 270 (145,304)
Citation 5

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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 235 (166,699)

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

10.

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 226 (173,079)
Citation 3

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

11.

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
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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 212 (183,751)
Citation 6

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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 89 (362,903)
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 74 (405,559)
Citation 6

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

Number of pages: 33 Posted: 16 Jun 2009 Last Revised: 15 Sep 2021
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 31 (593,106)
Citation 10

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13.

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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 192 (201,192)
Citation 2

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Pension Plans, Investment Risks

14.

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 183 (210,013)
Citation 4

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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 175 (218,244)

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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
Goethe University Frankfurt - Finance Department, St. John's University - Tobin College of Business - School of Risk Management, Insurance, and Actuarial ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 169 (224,758)
Citation 8

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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 124 (289,165)
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

Number of pages: 38 Posted: 10 Oct 2016 Last Revised: 29 Jul 2021
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 32 (587,025)
Citation 2

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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
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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 115 (305,416)

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

Number of pages: 21 Posted: 25 Jan 2010 Last Revised: 09 May 2021
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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 25 (633,911)

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19.

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 137 (267,109)
Citation 2

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

20.

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 136 (268,668)
Citation 1

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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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 65 (435,560)

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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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 42 (531,990)
Citation 1

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

Number of pages: 37 Posted: 20 Jun 2011 Last Revised: 27 Oct 2021
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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 25 (633,911)
Citation 2

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22.

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 126 (284,577)
Citation 35

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

Number of pages: 29 Posted: 03 Aug 2006 Last Revised: 12 Nov 2021
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Finance Department, University of Pennsylvania - The Wharton School and University of Frankfurt
Downloads 126 (285,744)

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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.

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
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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 125 (286,224)
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 87 (368,126)
Citation 40

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

Number of pages: 57 Posted: 13 Dec 2013 Last Revised: 02 Dec 2021
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 35 (569,465)

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26.

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 122 (291,343)
Citation 1

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27.

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 110 (313,517)

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

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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Department of Finance
Downloads 61 (450,101)

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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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Department of Finance
Downloads 41 (536,997)

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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

Number of pages: 32 Posted: 23 Jan 2017 Last Revised: 26 Feb 2021
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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Department of Finance
Downloads 7 (780,652)

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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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 94 (350,386)
Citation 22

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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

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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 14 (720,573)

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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 69 (421,813)
Citation 3

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

Time Discounting and Economic Decision-Making Among the Elderly

Number of pages: 40 Posted: 25 Jul 2016 Last Revised: 24 Oct 2021
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 34 (575,231)
Citation 1

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How Financial Literacy Shapes the Demand for Financial Advice at Older Ages

Wharton Pension Research Council Working Paper No. 2020-02, Journal of the Economics of Ageing, Forthcoming
Number of pages: 38 Posted: 22 Apr 2019 Last Revised: 07 Jun 2021
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 87 (368,126)
Citation 1

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

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

Number of pages: 20 Posted: 15 Apr 2019 Last Revised: 11 Nov 2021
University of South Carolina, Darla Moore School of Business, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 14 (720,573)

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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 58 (461,630)
Citation 16

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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 23 (648,870)

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

Number of pages: 48 Posted: 25 Oct 2013 Last Revised: 05 Jul 2021
Andreas Hubener, Raimond Maurer and Olivia S. Mitchell
Goethe University Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 10 (754,750)
Citation 4

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33.

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 90 (357,375)
Citation 1

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term structure models, downside risk constraints

34.

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
University of Amsterdam - Amsterdam School of Economics (ASE), Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 87 (364,906)

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Annuity risk, deferred life annuities, dynamic portfolio choice, interest rate risk

Money-Back Guarantees in Individual Retirement Accounts: Still a Good Deal?

SAFE Working Paper No. 263 (2019), Wharton Pension Research Council Working Paper No. 2019-19, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 66 Posted: 23 Oct 2019 Last Revised: 12 Mar 2021
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 84 (376,297)

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individual retirement account, investment guarantee, longevity risk, retirement income, life cycle portfolio choice

Money-Back Guarantees in Individual Retirement Accounts: Still a Good Deal?

Number of pages: 66 Posted: 30 Oct 2019 Last Revised: 27 Aug 2021
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 2 (825,714)

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36.

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

Number of pages: 39 Posted: 31 May 2005 Last Revised: 20 Oct 2021
Ivica Dus, Raimond Maurer and Olivia S. Mitchell
University of Frankfurt, Goethe University Frankfurt - Finance Department and University of Pennsylvania - The Wharton School
Downloads 86 (367,566)

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37.

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 82 (378,189)

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

38.

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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 70 (413,450)

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Do Required Minimum Distribution 401(K) Rules Matter, and for Whom? Insights from a Lifecycle Model

Number of pages: 40 Posted: 22 Feb 2021 Last Revised: 18 Nov 2021
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 1 (839,074)
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40.

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

Schmalenbach Business Review
Number of pages: 44 Posted: 20 Sep 2018 Last Revised: 27 Jan 2021
Philipp Gerlach and Raimond Maurer
Goethe University Frankfurt and Goethe University Frankfurt - Finance Department
Downloads 65 (429,968)

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

41.

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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 65 (429,968)

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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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 56 (469,526)
Citation 6

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Accounting and Actuarial Smoothing of Retirement Payouts in Participating Life Annuities

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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt
Downloads 7 (780,652)

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43.

GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices

Number of pages: 79 Posted: 07 Jan 2021 Last Revised: 25 May 2021
Yannick Dillschneider and Raimond Maurer
University of Amsterdam - Amsterdam School of Economics (ASE) and Goethe University Frankfurt - Finance Department
Downloads 54 (469,947)
Citation 1

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generalized transform analysis, stochastic volatility models, option pricing, GMM estimation

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 49 (498,849)
Citation 1

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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?

Number of pages: 36 Posted: 11 Nov 2019 Last Revised: 18 Nov 2021
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 5 (797,649)
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45.

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 54 (469,947)

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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
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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 24 (641,362)

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

Number of pages: 34 Posted: 15 Sep 2008 Last Revised: 30 Aug 2021
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 ScienceGoethe University Frankfurt - Department of Finance
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47.

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
University of Amsterdam - Amsterdam School of Economics (ASE), Goethe University Frankfurt - Finance Department and Goethe University Frankfurt - Department of Finance
Downloads 43 (516,720)
Citation 1

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Dynamic portfolio choice, discrete time dynamic programming, Euler equation errors, gradient-based optimization

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 ScienceGoethe University Frankfurt - Department of Finance
Downloads 33 (581,107)
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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?

Number of pages: 31 Posted: 11 May 2013 Last Revised: 04 Jul 2021
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 ScienceGoethe University Frankfurt - Department of Finance
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49.

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

Number of pages: 31 Posted: 09 Jun 2008 Last Revised: 28 Nov 2021
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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Citation 5

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50.

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

Number of pages: 35 Posted: 14 Oct 2011 Last Revised: 02 May 2021
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 ScienceGoethe University Frankfurt - Department of Finance
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51.

Do Required Minimum Distribution 401(k) Rules Matter, and for Whom? Insights from a Lifecylce Model

LawFin Working Paper No. 17
Number of pages: 40 Posted: 24 Mar 2021
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 22 (636,488)

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life cycle saving, household finance, 401(k) plan, retirement, tax policy

52.

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

Number of pages: 38 Posted: 27 Oct 2014 Last Revised: 30 Oct 2021
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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Department of Finance
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53.

How Will Persistent Low Expected Returns Shape Household Economic Behavior?

Number of pages: 22 Posted: 08 Oct 2018 Last Revised: 04 Sep 2021
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 7 (750,043)

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54.

Older Peoples’ Willingness to Delay Social Security Claiming

Number of pages: 27 Posted: 19 Dec 2016 Last Revised: 09 Sep 2021
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

56.

Asset Meltdown – Fact or Fiction?

Journal of Real Estate Portfolio Management, Vol. 17 (1), 27-38, 2011
Posted: 16 Sep 2020
University of Konstanz, Goethe University Frankfurt - Finance Department and University of Regensburg - International Real Estate Business School (IREBS)

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Asset Pricing, International Financial Markets, Economics of the Elderly

57.

Financial Characteristics of International Real Estate Returns: Evidence from the UK, US, and Germany

Journal of Real Estate Portfolio Management, Vol. 10, 59-76, 2004
Posted: 16 Sep 2020
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)

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58.

Return-Based Classification of Absolute Return Funds

Journal of Asset Management (2015) 16, 117–130.
Posted: 08 Nov 2013 Last Revised: 25 May 2021
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

59.

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 ScienceGoethe University Frankfurt - Department of Finance and Goethe University Frankfurt
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Citation 6
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60.

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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61.

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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62.

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

63.

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

64.

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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65.

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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66.

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

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

67.

Bayesian Asset Allocation and U.S. Domestic Bias

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