Bonds versus stocks: Investors' age and risk taking

• 成果类型: Article
• 署名作者: Bali, Turan G.; Demirtas, K. Ozgur; Levy, Haim; Wolf, Avner
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.06.015
• 发表日期: 2009
• 页码: 817-830
• 关键词: asset allocation; Life-cycle funds; Almost stochastic dominance; Almost mean-variance

摘要

It has become increasingly popular to advise investors to relocate their funds from a primarily stock portfolio to a primarily bond portfolio as they get older. However, the well-known decision rules Such as mean-variance or stochastic dominance rules are unable to explain this common practice. Almost stochastic dominance (ASD) and almost mean-variance (AMV) approaches are used to examine the dominance of stock and bond portfolios. ASD and AMV rules unambiguously support the popular practice of advising higher stock to bond ratio for long investment horizons. Hence, we provide an explanation to the practitioners' recommendation within the expected utility paradigm. (C) 2009 Published by Elsevier B.V.