Date: 2017
Type: Article
Asset market participation and portfolio choice over the life-cycle
The journal of finance, 2017, Vol. 72, No. 2, pp. 705–750
FAGERENG, Andreas, GOTTLIEB, Charles, GUISO, Luigi, Asset market participation and portfolio choice over the life-cycle, The journal of finance, 2017, Vol. 72, No. 2, pp. 705–750
- https://hdl.handle.net/1814/45804
Retrieved from Cadmus, EUI Research Repository
Using error-free data on life-cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life-cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per-period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway.
Additional information:
First published: 20 January 2017
Cadmus permanent link: https://hdl.handle.net/1814/45804
Full-text via DOI: 10.1111/jofi.12484
ISSN: 0022-1082; 1540-6261
Publisher: Wiley
Initial version: http://hdl.handle.net/1814/28597
Version: Published version of EUI ECO WP 2013/07
Files associated with this item
- Name:
- Fagereng_Gottlieb_Guiso.pdf
- Size:
- 393.4Kb
- Format:
- Description:
- Full-text in Open Access