This paper extends the Campbell and Viceira (2005) strategic asset allocation model including a longevity‐linked investment possibility in addition to equity and fixed income securities. Estimation of the model, based on prices for standardized annuities publicly offered by US insurance companies, shows that aggregate shocks to survival probabilities are predictors for long term returns of the longevity linked securities, and reveals an unexpected predictability pattern. The empirical valuation of the market price of longevityrisk confirms that longevity linked securities offer cheap funding opportunities to asset managers willing to leverage their investment portfolio.
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