| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13966 |
| 来源ID | Working Paper 13966 |
| Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds | |
| Francisco J. Gomes; Laurence J. Kotlikoff; Luis M. Viceira | |
| 发表日期 | 2008-04-18 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We investigate optimal consumption, asset accumulation and portfolio decisions in a realistically calibrated life-cycle model with flexible labor supply. Our framework allows for wage rate uncertainly, variable labor supply, social security benefits and portfolio choice over safe bonds and risky equities. Our analysis reinforces prior findings that equities are the preferred asset for young households, with the optimal share of equities generally declining prior to retirement. However, variable labor materially alters pre-retirement portfolio choice by significantly raising optimal equity holdings. Using this model, we also investigate the welfare costs of constraining portfolio allocations over the life cycle to mimic popular default investment choices in defined-contribution pension plans, such as stable value funds, balanced funds, and life-cycle (or target date) funds. We find that life-cycle funds designed to match the risk tolerance and investment horizon of investors have small welfare costs. All other choices, including life-cycle funds which do not match investors' risk tolerance, can have substantial welfare costs. |
| 主题 | Microeconomics ; Households and Firms ; Behavioral Economics ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Public Economics ; Taxation ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w13966 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571638 |
| 推荐引用方式 GB/T 7714 | Francisco J. Gomes,Laurence J. Kotlikoff,Luis M. Viceira. Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13966.pdf（231KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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