Optimal life cycle portfolio choice with housing market cycles

During the last decades households in the U.S. have experienced that residential house prices move in a persistent manner, i.e. that returns are positively serially correlated. Since an owner-occupied home is usually the largest investment of a household it is important to understand how households act when they base their consumption and investment decisions on this experience. We show in a setting with housing market cycles and households who can decide whether they rent or own the home, that - besides the consumption and the precautionary savings motive - serial correlation in house prices generates a new speculative motive for homeownership. In particular, we show how good and bad housing market cycles affect homeownership rates, leverage, stock investments and consumption and can explain empirically observed household behavior during housing market boom and bust periods. Keywords: Asset Allocation , Portfolio Choice , Housing Market Cycles , Real Estate JEL Classification: G11, D9

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

We derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. We show that a considerable fraction of wealth should be annuitized to skim the return enhancing mortality credit. The remaining liquid wealth (stocks and bonds) is used to hedge labor income risk during work life, to earn the equity premium, and to ensure estate for the heirs. Furthermore, we assess the importance of common explanations for limited participation in annuity markets.

Optimal gradual annuitization : quantifying the costs of switching to annuities

We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide how much he consumes and how much he invests in stocks, bonds, and annuities. Pricing the annuities we account for asymmetric mortality beliefs and administration expenses. We show that the retiree does not purchase annuities only once but rather several times during retirement (gradual annuitization). We analyze the case in which the retiree is restricted to buy annuities only once and has to perform a (complete or partial) switching strategy. This restriction reduces both the utility and the demand for annuities

Money in Motion: Dynamic Portfolio Choice in Retirement

Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial wealth and annuities, and we prove that she can benefit from both the equity premium and longevity insurance in her retirement portfolio. Even without bequests, she will not fully annuitize; rather, her optimal stock allocation amounts initially to more than half of her financial wealth and declines with age. Welfare gains from this strategy can amount to 40 percent of financial wealth (depending on risk parameters and other resources). In practice, it turns out that many retirees will do almost as well by purchasing a variable annuity invested 60/40 in stocks/bonds.

Money in Motion: Dynamic Portfolio Choice in Retirement

Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial wealth and annuities, and we prove that she can benefit from both the equity premium and longevity insurance in her retirement portfolio. Even without bequests, she will not fully annuitize; rather, her optimal stock allocation amounts initially to more than half of her financial wealth and declines with age. Welfare gains from this strategy can amount to 40 percent of financial wealth (depending on risk parameters and other resources). In practice, it turns out that many retirees will do almost as well by purchasing a variable annuity invested 60/40 in stocks/bonds.

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

This paper shows how lifelong survival-contingent payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. Our model generates optimal asset location patterns indicating how much to hold in liquid versus illiquid survival-contingent payouts over the lifetime, and also asset allocation paths, showing how to invest in stocks versus bonds. We conrm that the investor will gradually move money out of her liquid saving into survivalcontingent assets to retirement and beyond, thereby enhancing her welfare by as much as 50 percent. The results are also robust to the introduction of uninsurable consumption shocks in housing expenses, income flows during the worklife and retirement, sudden changes in health status, and medical expenses.

Automated model acquisition from range images with view planning

We present an incremental system that builds accurate CAD models of objects from multiple range images. Using a hybrid of surface mesh and volumetric representations, the system creates a "water-tight" 3D model at each step of the modeling process, allowing reasonable models to be built from a small number of views. We also present a method that can be used to plan the next view and reduce the number of scans needed to recover the object. Results are presented for the creation of 3D models of a computer game controller, a hip joint prosthesis, and a mechanical strut

3-D modeling from range imagery: an incremental method with a planning component

In this paper we present a method for automatically constructing a CAD model of an unknown object from range images. The method is an incremental one that interleaves a sensing operation that acquires and merges information into the model with a planning phase to determine the next sensor position or "view". This is accomplished by integrating a system for 3-D model acquisition with a sensor planner. The model acquisition system provides facilities for range image acquisition, solid model construction and model merging: both mesh surface and solid representations are used to build a model of the range data from each view, which is then merged with the model built from previous sensing operations. The planning system utilizes the resulting incomplete model to plan the next sensing operation by finding a sensor viewpoint that will improve the fidelity of the model. Experimental results are presented for a complex part that includes polygonal faces, curved surfaces, and large self-occlusions

Optimal Life-Cycle Strategies in the Presence of Interest Rate and Inflation Risk

Defined Contribution Plan

Dimethyl Fumarate Alleviates Dextran Sulfate Sodium-Induced Colitis, through the Activation of Nrf2-Mediated Antioxidant and Anti-inflammatory Pathways.

Oxidative stress and chronic inflammation play critical roles in the pathogenesis of ulcerative colitis (UC) and inflammatory bowel diseases (IBD). A previous study has demonstrated that dimethyl fumarate (DMF) protects mice from dextran sulfate sodium (DSS)-induced colitis via its potential antioxidant capacity, and by inhibiting the activation of the NOD-, LRR- and pyrin domain-containing protein 3 (NLRP3) inflammasome. This study aims to clarify the nuclear factor erythroid 2-related factor 2/antioxidant responsive element (Nrf2/ARE) pathway pharmacological activation and anti-inflammatory effect by DMF, through focusing on other crucial antioxidant enzymes and inflammatory mediator, including glutamate-cysteine ligase catalytic subunit (GCLC), glutathione peroxidase (GPX) and cyclooxygenase-2 (COX-2), in a DSS-induced colitis mouse model. The oral administration of DMF attenuated the shortening of colons and alleviated colonic inflammation. Furthermore, the expression of key antioxidant enzymes, including GCLC and GPX, in the colonic tissue were significantly increased by DMF administration. In addition, protein expression of the inflammatory mediator, COX-2, was reduced by DMF administration. Our results suggest that DMF alleviates DSS-induced colonic inflammatory damage, likely via up-regulating GCLC and GPX and down-regulating COX-2 protein expression in colonic tissue