Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - In: Journal of Banking & Finance 33 (2009) 9, pp. 1688-1699
This paper shows how survival-contingent investment-linked payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. In exchange for illiquidity, these products provide the consumer with...