Comment on Aging Population, Retirement, and Risk Taking

• 成果类型: Editorial Material
• 署名作者: Huang, Rachel J.; Tzeng, Larry Y.; Wang, Jr-Yan; Zhao, Lin
• 署名单位: National Central University; National Chengchi University; National Taiwan University; National Taiwan University; National Taiwan University; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3052
• 发表日期: 2020
• 页码: 2792-2795
• 关键词: asymptotic stochastic dominance; maximum geometric mean strategy; long-run investment

摘要

Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415-1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite investment horizons. By assuming that the terminal wealth follows a log-normal distribution and that themarginal utility is bounded, he offers the necessary and sufficient distributional condition for AFSD. Given Levy's setting, we provide a counterexample to show that his condition is not necessary and offer the correct equivalent distributional condition for AFSD.