| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29559 |
| 来源ID | Working Paper 29559 |
| Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle | |
| Victor Duarte; Julia Fonseca; Aaron S. Goodman; Jonathan A. Parker | |
| 发表日期 | 2021-12-13 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We develop a machine-learning solution algorithm to solve for optimal portfolio choice in a lifecycle model that includes many features of reality modelled only separately in previous work. We use the quantitative model to evaluate the consumption-equivalent welfare losses from using simple rules for portfolio allocation across stocks, bonds, and liquid accounts instead of the optimal portfolio choices, both for optimizing households and for households that undersave. We find that the consumption-equivalent losses from using an age-dependent rule as embedded in current target-date/lifecycle funds (TDFs) are substantial, around 2 to 3 percent of consumption, despite the fact that TDF rules mimic average optimal behavior by age closely until shortly before retirement. Optimal equity shares have substantial heterogeneity, particularly by wealth level, state of the business cycle, and dividend-price ratio, implying substantial gains to further customization of advice or TDFs in these dimensions. |
| 主题 | Microeconomics ; Mathematical Tools ; Households and Firms ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29559 |
| 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/587233 |
| 推荐引用方式 GB/T 7714 | Victor Duarte,Julia Fonseca,Aaron S. Goodman,et al. Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle. 2021. |
| 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 | ||
| w29559.pdf（465KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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