, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors … using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long …-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the …

by an unobservable continuous-time finite state Markov chain. Using the classical stochastic filtering theory, we reduce …

accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID … for default options in retirement accounts and for funds with built-in trading provisions. While households did not …

I find that when volatility spikes, patient and more risk-averse investors should increase their exposure to stocks … whereas impatient and less risk-averse investors should decrease it. This is because investors with a greater willingness to … bear risk choose a larger exposure to risky assets on average, so volatility shocks affect their wealth relatively more. In …