چرخه عمر تخصیص دارایی با بازارهای سالیانه
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|1520||2008||23 صفحه PDF||سفارش دهید||12180 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Economic Dynamics and Control, Volume 32, Issue 11, November 2008, Pages 3590–3612
This paper derives the optimal consumption and portfolio choice pattern over the life-cycle for households facing uninsurable labor income risk, ruin risk, stochastic capital markets, and uncertain lifetime. Our model posits a dynamic utility maximizer with CRRA and Epstein/Zin preferences who has access to liquid stocks, bonds, and illiquid life annuities. We show that a considerable fraction of wealth is gradually annuitized until retirement and beyond to skim the mortality credit. The remaining liquid wealth is mainly invested in stocks to compensate for riskless investment in life annuities. The model allows us to assess the economic importance of common explanations for the empirically low annuity demand by analyzing participations rates, annuitization fractions, and welfare effects.