Risk aversion and planning horizons

• 成果类型: Article; Proceedings Paper
• 署名作者: Bommier, Antoine; Rochet, Jean-Charles
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Universite de Toulouse
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/JEEA.2006.4.4.708
• 发表日期: 2006
• 页码: 708-734
• 关键词: lifetime portfolio selection; continuous-time; habit formation; equity premium; consumption; utility; uncertainty; RESOLUTION; BEHAVIOR; CHOICE

摘要

A number of empirical studies seem to reject the additive separability of preferences that is assumed in most theoretical models of the life cycle. We show that, when additive separability is abandoned and interactions between consumptions at different dates are taken into account, an interesting relation emerges between risk aversion and length of the planning horizon. Specifically, we show that when consumptions at different dates are specific substitutes, risk aversion increases with horizon length. This may explain the surprising empirical finding that individuals seem to increase the share of wealth held in risky assets as they become older.