Asset Location

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Raimond Maurer - One of the best experts on this subject based on the ideXlab platform.

  • How unobservable bond positions in retirement accounts affect Asset alLocation
    OR Spectrum, 2011
    Co-Authors: Marcel Marekwica, Raimond Maurer
    Abstract:

    Many tax-codes around the world allow for special taxable treatment of savings in retirement accounts (RAs). In particular, profits in RAs are usually tax exempt which allows investors to enhance after-tax returns on Assets. While the existing literature on Asset Location shows that risk-free bonds are usually the preferred Asset to hold in a RA, we explain how the tax exemption of profits in RAs affects private investors’ overall Asset alLocation. We show that total final wealth can be decomposed into what the investor would have earned in a taxable account and what is due to the tax exemption of profits in the RA. The tax savings due to the tax exemption of profits in RAs are similar to an implicit bond holding. As expected future tax savings decrease in time, so does the investor’s equity exposure.

  • Asset alLocation and Location over the life cycle with investment linked survival contingent payouts
    Journal of Banking and Finance, 2009
    Co-Authors: Wolfram J. Horneff, Raimond Maurer, Olivia S. Mitchell, Michael Z. Stamos
    Abstract:

    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 access to mutual-fund style portfolio choice, as well as the survival credit generated from pooling mortality risk. 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 show that the investor who moves her money out of liquid saving into survival-contingent Assets gradually from middle age to retirement and beyond, will enhance her welfare by as much as 50%. The results are 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.

  • How unobservable bond positions in retirement accounts affect Asset alLocation
    OR Spectrum, 2009
    Co-Authors: Marcel Marekwica, Raimond Maurer
    Abstract:

    Many tax-codes around the world allow for special taxable treatment of savings in retirement accounts (RAs). In particular, profits in RAs are usually tax exempt which allows investors to enhance after-tax returns on Assets. While the existing literature on Asset Location shows that risk-free bonds are usually the preferred Asset to hold in a RA, we explain how the tax exemption of profits in RAs affects private investors' overall Asset alLocation. We show that total final wealth can be decomposed into what the investor would have earned in a taxable account and what is due to the tax exemption of profits in the RA. The tax savings due to the tax exemption of profits in RAs are similar to an implicit bond holding. As expected future tax savings decrease in time, so does the investor's equity exposure.

  • Asset AlLocation and Location Over the Life Cycle with Survival-Contingent Payouts
    2008
    Co-Authors: Wolfram J. Horneff, Raimond Maurer, Olivia S. Mitchell, Michael Z. Stamos
    Abstract:

    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 confirm that the investor will gradually move money out of her liquid saving into survival-contingent 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.

  • Money in Motion: Dynamic Portfolio Choice in Retirement
    SSRN Electronic Journal, 2007
    Co-Authors: Wolfram J. Horneff, Raimond Maurer, Olivia S. Mitchell, Michael Z. Stamos
    Abstract:

    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.

Michael Z. Stamos - One of the best experts on this subject based on the ideXlab platform.

  • Asset alLocation and Location over the life cycle with investment linked survival contingent payouts
    Journal of Banking and Finance, 2009
    Co-Authors: Wolfram J. Horneff, Raimond Maurer, Olivia S. Mitchell, Michael Z. Stamos
    Abstract:

    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 access to mutual-fund style portfolio choice, as well as the survival credit generated from pooling mortality risk. 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 show that the investor who moves her money out of liquid saving into survival-contingent Assets gradually from middle age to retirement and beyond, will enhance her welfare by as much as 50%. The results are 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.

  • Asset AlLocation and Location Over the Life Cycle with Survival-Contingent Payouts
    2008
    Co-Authors: Wolfram J. Horneff, Raimond Maurer, Olivia S. Mitchell, Michael Z. Stamos
    Abstract:

    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 confirm that the investor will gradually move money out of her liquid saving into survival-contingent 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.

  • Money in Motion: Dynamic Portfolio Choice in Retirement
    SSRN Electronic Journal, 2007
    Co-Authors: Wolfram J. Horneff, Raimond Maurer, Olivia S. Mitchell, Michael Z. Stamos
    Abstract:

    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.

Aaron Maskell - One of the best experts on this subject based on the ideXlab platform.

Clemens Sialm - One of the best experts on this subject based on the ideXlab platform.

  • Asset Location in Tax-Deferred and Conventional Savings Accounts
    Journal of Public Economics, 2002
    Co-Authors: John B. Shoven, Clemens Sialm
    Abstract:

    The optimal alLocation of Assets among different Asset classes (such as stocks and bonds) has received considerable attention in financial theory and practice. On the other hand, investors have not been given much guidance about which Assets should be located in tax-deferred retirement accounts and which in conventional savings accounts. This paper derives optimal Asset alLocations (which Assets to hold) and Asset Locations (where to hold them) for a risk-averse investor saving for retirement. Locating Assets optimally can significantly improve the risk-adjusted performance of retirement savings.

  • Asset Location for Retirement Savers
    2000
    Co-Authors: James M. Poterba, John B. Shoven, Clemens Sialm
    Abstract:

    This paper uses data on actual returns on taxable bonds, tax-exempt bonds, and a small sample of equity mutual funds over the 1962-1998 period to compare two Asset Location strategies for retirement savers. The first strategy gives priority to holding equities, through equity mutual funds, in a saver's tax-deferred account, while the second strategy gives priority to holding fixed-income investments in the tax-deferred account. We consider high-income taxable individual investors who saved in each year and invested in one of actively-managed funds in our sample. Over the thirty-seven year span that we consider, such savers would have accumulated a larger stock of wealth if they had held their equity mutual fund in their tax-deferred account than if they had held the fund in a conventional taxable form. The explanation for this apparent contradiction of the often-stated bonds in the tax-deferred account' prescription has two parts. First, many equity mutual funds impose substantial tax burdens on their investors. This raises the effective tax rate on investing in equities through mutual funds rather than in a buy-and-hold personal portfolio. Second, taxable investors who wish to hold fixed income Assets can do so by holding tax-exempt bonds as well as by holding taxable bonds. The interest rate differential between taxable and tax-exempt bonds suggests that the effective tax rate on fixed income investments may be lower than the statutory tax rate for high-income investors.

  • Long Run Asset AlLocation for Retirement Savings
    The Journal of Wealth Management, 1998
    Co-Authors: John B. Shoven, Clemens Sialm
    Abstract:

    The authors examine two of the most important factors in accumulating the necessary funds for retirement: Asset alLocation and Asset Location. They find that an all-bond strategy is difficult to rationalize even for the most risk-averse individuals. A portfolio mix of 40–60 percent stocks and the remainder in bonds makes sense for those who are strongly risk averse, and mildly risk-averse individuals are best off with 70–100 percent in stocks. Because pensions dominate conventional savings accounts, their use should be maximized. For people whose federal income tax rate exceeds 15 percent and who cannot place all their retirement savings in pension accounts, the authors find that holding municipal bonds in conventional accounts is better than holding corporate bonds in pension accounts. Furthermore, the typical actively managed equity mutual fund gains more from being in a pension account than in a typical bank fund.

R.j. Fontana - One of the best experts on this subject based on the ideXlab platform.

  • Ultra-wideband precision Asset Location system
    2002 IEEE Conference on Ultra Wideband Systems and Technologies (IEEE Cat. No.02EX580), 2002
    Co-Authors: R.j. Fontana, S.j. Gunderson
    Abstract:

    A prototype ultra-wideband (UWB) precision Asset Location (PAL) system was developed and tested aboard the SS Curtiss in Port Hueneme, California. The PAL system was developed to assess the capability of UWB geoLocation to operate in severe multipath shipboard environments. The PAL system was based on an earlier UWB relative-time-of-arrival (RTOA) transceiver Location system and was extended to a differential-time-of-arrival (DTOA) beacon architecture required for longer tag battery life. Testing was performed in open cargo spaces (worst-case multipath) and partially loaded cargo spaces (blockage). A reference laser surveying system was installed for comparison and accuracy tests were conducted over a cargo space. The PAL system performed to the estimated accuracy of a few feet in open cargo holds. UWB appeared to penetrate large cracks between containers, maintaining localization capability during blockage tests. This paper describes the UWB PAL system and the shipboard testing.

  • Commercialization of an ultra wideband precision Asset Location system
    IEEE Conference on Ultra Wideband Systems and Technologies 2003, 1
    Co-Authors: R.j. Fontana, E. Richley, J. Barney
    Abstract:

    Ultra wideband (UWB) technology has been shown to possess unique advantages for precision localization applications. The use of short pulse RF waveforms provides inherent precision for time difference of arrival measurements, as well immunity to multipath effects in indoor applications. This paper describes an FCC-approved, commercial UWB precision Asset Location system which is being used for tracking of high valued Assets in hospitals, factories and in military facilities.

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