Lifetime consumption and investment: Retirement and constrained borrowing

• 成果类型: Article
• 署名作者: Dybvig, Philip H.; Liu, Hong
• 署名单位: Washington University (WUSTL)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2009.08.003
• 发表日期: 2010
• 页码: 885-907
• 关键词: Voluntary retirement; mandatory retirement; INVESTMENT; consumption

摘要

Retirement flexibility and inability to borrow against future labor income can significantly affect optimal consumption and investment. With voluntary retirement, there exists an optimal wealth-to-wage ratio threshold for retirement and human capital correlates negatively with the stock market even when wages have zero or slightly positive market risk exposure. Consequently, investors optimally invest more in the stock market than without retirement flexibility. Both consumption and portfolio choice jump at the endogenous, retirement date. The inability to borrow limits hedging and reduces the value of labor income, the wealth-to-wage ratio threshold for retirement, and the stock investment. (C) 2009 Elsevier Inc. All rights reserved.