Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

被引：171

作者：

Benzoni, Luca

Collin-Dufresne, Pierre

Goldstein, Robert S.

机构：

[1] Haas School of Business, University of California at Berkeley

[2] Carlson School of Management, University of Minnesota

来源：

JOURNAL OF FINANCE | 2007年 / 62卷 / 05期

关键词：

D O I：

10.1111/j.1540-6261.2007.01271.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes "stock-like." However, for older agents with shorter times-to-retirement, cointegration does not have sufficient time to act, and thus their human capital becomes more "bond-like." Together, these effects create hump-shaped life-cycle portfolio holdings, consistent with empirical observation. These results hold even when asset return predictability is accounted for. © 2007 by The American Finance Association.

引用

页码：2123 / 2167

页数：45

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