Saving and investing for early retirement: A theoretical analysis

• 成果类型: Article
• 署名作者: Farhi, Emmanuel; Panageas, Stavros
• 署名单位: Massachusetts Institute of Technology (MIT); University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.10.004
• 发表日期: 2007
• 页码: 87-121
• 关键词: Continuous time; optimal stopping; retirement; portfolio choice; savings; marginal propensity to consume; indivisible labor

摘要

We Study optimal consumption and portfolio choice in a framework where investors adjust their labor Supply through an irreversible choice of their retirement time. We show that investing for early retirement tends to increase savings and reduce an agent's effective relative risk aversion, thus increasing her stock market exposure. Contrary to common intuition, an investor might find it optimal to increase the proportion of financial wealth held in stocks as she ages and accumulates assets, even when her income and the investment opportunity set are constant. The model predicts a decrease in risk aversion following strong market gains like those observed in the nineties. (c) 2006 Elsevier B.V. All rights reserved.