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来源类型Working Paper
规范类型报告
DOI10.3386/w29559
来源IDWorking 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
URLhttps://www.nber.org/papers/w29559
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/587233
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Victor Duarte,Julia Fonseca,Aaron S. Goodman,et al. Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle. 2021.
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