| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15079 |
| 来源ID | Working Paper 15079 |
| Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts | |
| Jingjing Chai; Wolfram Horneff; Raimond Maurer; Olivia S. Mitchell | |
| 发表日期 | 2009-06-11 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the investment universe to include not only stocks and bonds, but also survival-contingent payout annuities. We show that making labor supply endogenous raises older peoples' equity share; substantially increases work effort by the young; and markedly enhances lifetime welfare. Also, introducing annuities leads to earlier retirement and higher participation by the elderly in financial markets. Finally, if we allow for an age-dependent leisure preference parameter, this fits well with observed evidence in that it generates lower work hours and smaller equity holdings at older ages as well as sensible retirement age patterns. |
| 主题 | Microeconomics ; Behavioral Economics ; Households and Firms ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Public Economics ; Taxation ; National Fiscal Issues ; Labor Economics ; Demography and Aging ; Labor Supply and Demand |
| URL | https://www.nber.org/papers/w15079 |
| 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/572755 |
| 推荐引用方式 GB/T 7714 | Jingjing Chai,Wolfram Horneff,Raimond Maurer,et al. Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts. 2009. |
| 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 | ||
| w15079.pdf（365KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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