Consumption and portfolio choice under loss aversion and endogenous updating of the reference level

Autor: Theo Nijman, Roger J. A. Laeven, Servaas van Bilsen

Publikováno v: Management Science, 66(9), 3927-3955. INFORMS Inst.for Operations Res.and the Management Sciences
Management Science, 66(9). INFORMS Inst.for Operations Res.and the Management Sciences

We explicitly derive and explore the optimal consumption and portfolio policies of a loss-averse individual who endogenously updates his or her reference level over time. We find that the individual protects current consumption by delaying painful re

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d5dd1082423ce650a27282257b9d850e
https://research.tilburguniversity.edu/en/publications/f525f99d-9371-4df9-b540-da2b44730ae1

Dynamic consumption and portfolio choice under prospect theory

Autor: Roger J. A. Laeven, Servaas van Bilsen

Publikováno v: Insurance: Mathematics & Economics, 91, 224-237. Elsevier

This paper explicitly derives the optimal dynamic consumption and portfolio choice of an individual with prospect theory preferences. The individual is loss averse, endogenously updates his reference level over time, and distorts probabilities. We sh

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3cfd3386364f044d3902a1eaaa01d1d0
https://doi.org/10.1016/j.insmatheco.2020.02.004

Consumption and portfolio choice under internal multiplicative habit formation

Autor: Roger J. A. Laeven, Servaas van Bilsen, Lans Bovenberg

Publikováno v: Journal of Financial and Quantitative Analysis, 55(7), 2334-2371. Cambridge University Press

This paper explores the optimal consumption and investment behavior of an individual who derives utility from the ratio between his consumption and an endogenous habit. We obtain closed-form policies under general utility functionals and stochastic i

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7cd1ca1feade5bd8e9416dca41d3b3bd
https://research.tilburguniversity.edu/en/publications/9a41eec5-10d4-474f-8d94-d3fd6269e9f8

The Decumulation Period of a Personal Pension with Risk Sharing: Investment Approach Versus Consumption Approach

Autor: A. Lans Bovenberg, Servaas van Bilsen

Publikováno v: SSRN Electronic Journal.

This paper models the decumulation period of a Personal Pension with Risk sharing (PPR). We derive several relationships between the contract parameters. Individuals can adopt two approaches to the decumulation period of a PPR: the investment approac

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::391c2ea9bd54f1c8ea73ed77205332a2
https://doi.org/10.2139/ssrn.3107753

Affordable and Adequate Annuities with Stable Payouts: Fantasy or Reality?

Autor: Daniël Linders, Servaas van Bilsen

Publikováno v: Insurance: Mathematics & Economics, 86, 19-42. Elsevier

© 2019 Elsevier B.V. This paper introduces a class of unit-linked annuities that extends existing annuities by allowing portfolio shocks to be gradually absorbed into the annuity payouts. Consequently, our new class enables insurers to offer an affo

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14cd65e0427dc9fe28f9593e74fdcd27
https://doi.org/10.2139/ssrn.3072636