Optimal life-cycle asset allocation: Understanding the empirical evidence

• 成果类型: Article
• 署名作者: Gomes, F; Michaelides, A
• 署名单位: University of London; London Business School; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00749.x
• 发表日期: 2005
• 页码: 869-904
• 关键词: market participation; portfolio choice; labor income; consumption; RISK; equilibrium; returns; WEALTH; COSTS; substitution

摘要

We show that a life-cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation decisions conditional on participation. The key ingredients of the model are Epstein-Zin preferences, a fixed stock market entry cost, and moderate heterogeneity in risk aversion. Households with low risk aversion smooth earnings shocks with a small buffer stock of assets, and consequently most of them (optimally) never invest in equities. Therefore, the marginal stockholders are (endogenously) more risk averse, and as a result they do not invest their portfolios fully in stocks.