Optimal Portfolio Selection with Life Insurance Under Inflation Risk

Optimal Annuity Portfolio Under Inflation Risk

“…Fischer (1975), Brown et al (2001), Campbell and Viceira (2001), Brennan and Xia (2002), Soares and Warshawsky (2003), Koijen et al (2011), Han and Hung (2012) and Kwak and Lim (2014). These studies have shown that the existence and availability of inflation-linked assets are desirable for individuals.…”

Optimal annuity portfolio under inflation risk

“…Fischer (1975), Brown et al (2001), Campbell and Viceira (2001), Brennan and Xia (2002), Soares and Warshawsky (2003), Koijen et al (2011), Han and Hung 1 (2012) and Kwak and Lim (2014). These studies have shown that the existence and availability of inflation-linked assets are desirable for individuals.…”

“…These studies have shown that the existence and availability of inflation-linked assets are desirable for individuals. Moreover, Fischer (1975) and Kwak and Lim (2014) argue that the demand for inflation-linked bonds increases with a decline in the correlation between stocks and inflation rate; Soares and Warshawsky (2003) argue that the prices of inflation-linked annuities over time are much less volatile than the prices of nominal fixed and increasing annuities; whereas Campbell and Viceira (2001), Koijen et al (2011) and Han and Hung (2012) show that inflation-linked products are most beneficial for conservative investors. In addition, Koijen et al (2011) argue that in the presence of real annuities, independently of the risk aversion level, individuals allocate only a marginal amount to nominal annuities, whereas Kwak and Lim (2014) prove that inflation-linked bonds are not only a perfect hedge for inflation risk, but also serve as investment opportunity and portfolio diversification.…”

The Role of Inflation-indexed Bond in Optimal Management of Defined Contribution Pension Plan During the Decumulation Phrase

“…Kwak and Lim [6] investigate a continuous time optimal consumption, investment and life insurance decision problem of a family under inflation risk, which explicit solutions are derived by using martingale method. Then Han and Hung [7] solve a similar investment problem of a wage earner before retirement with the method of dynamic programming approach.…”