The DOI matches its Crossref record; 56 of the 56 references it cites were found in a registry or an index.
Consumption and Portfolio Choice over the Life Cycle
Abstract
This article solves a realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and borrowing constraints. Since labor income substitutes for riskless asset holdings, the optimal share invested in equities is roughly decreasing over life. We compute a measure of the importance of human capital for investment behavior. We find that ignoring labor income generates large utility costs, while the cost of ignoring only its risk is an order of magnitude smaller, except when we allow for a disastrous labor income shock. Moreover, we study the implications of introducing endogenous borrowing constraints in this incomplete-markets setting.
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Cites
Optimum consumption and portfolio rules in a continuous-time model
Merton, R. C. (1971) · Journal of Economic Theory · doi:10.1016/0022-0531(71)90038-x · Cited by 5,958
Mehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
Merton, R. C. (1969) · The Review of Economics and Statistics · doi:10.2307/1926560 · Cited by 5,187
Epstein, L. G., & Zin, S. E. (1989) · Econometrica · doi:10.2307/1913778 · Cited by 4,262
Fama, E. F., & Schwert, G. W. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90014-9 · Cited by 2,687
The Conditional CAPM and the Cross‐Section of Expected Returns
JAGANNATHAN, R., & WANG, Z. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05201.x · Cited by 2,535
LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING
Samuelson, P. A. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50044-7 · Cited by 1,937
Consumption Over the Life Cycle
Gourinchas, P.-O., & Parker, J. A. (2002) · Econometrica · doi:10.1111/1468-0262.00269 · Cited by 1,781
A Random Walk Down Wall Street
Malkiel, B. G. (1973) · Medical Entomology and Zoology · Cited by 1,751
Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis
Carroll, C. D. (1997) · The Quarterly Journal of Economics · doi:10.1162/003355397555109 · Cited by 1,696
Cited by
The Economic Importance of Financial Literacy: Theory and Evidence
Lusardi, A., & Mitchell, O. S. (2014) · Journal of Economic Literature · doi:10.1257/jel.52.1.5 · Cited by 4,698
Financial literacy and stock market participation
van Rooij, M., Lusardi, A., & Alessie, R. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.006 · Cited by 3,554
Financial Literacy, Retirement Planning and Household Wealth
van Rooij, M. C. J., Lusardi, A., & Alessie, R. J. M. (2012) · The Economic Journal · doi:10.1111/j.1468-0297.2012.02501.x · Cited by 936
Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence
GOMES, F., & MICHAELIDES, A. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00749.x · Cited by 773
Self-citationOptimal Financial Knowledge and Wealth Inequality
Lusardi, A., Michaud, P.-C., & Mitchell, O. S. (2017) · Journal of Political Economy · doi:10.1086/690950 · Cited by 690
Metadata
- Authors
- Cocco, J. F., Gomes, F. J., & Maenhout, P. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2005
- Volume
- 18
- Issue
- 2
- Pages
- 491-533
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2097685531
- Cited by
- 1,530
- References
- 56
- FWCI
- 257.48
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
