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Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
Open accessAbstract
This paper examines how risky labor income and retirement affect optimal portfolio choice. With idiosyncratic labor income risk, the optimal allocation to stocks is unambiguously larger for employed investors than for retired investors, consistent with the typical recommendations of investment advisors. Increasing idiosyncratic labor income risk raises investors' willingness to save and reduces their stock portfolio allocation towards the level of retired investors. Positive correlation between labor income and stock returns has a further negative effect and can actually reduce stockholdings below the level of retired investors.
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Citations
Cited by
Consumption and Portfolio Choice over the Life Cycle
Cocco, J. F., Gomes, F. J., & Maenhout, P. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi017 · Cited by 1,530
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
Who Should Buy Long-Term Bonds?
Campbell, J. Y., & Viceira, L. M. (2001) · American Economic Review · doi:10.1257/aer.91.1.99 · Cited by 616
Self-citationPortfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
BENZONI, L., COLLIN‐DUFRESNE, P., & GOLDSTEIN, R. S. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01271.x · Cited by 466
Household Finance: An Emerging Field
Guiso, L., & Sodini, P. (2013) · Handbook of the Economics of Finance · doi:10.1016/b978-0-44-459406-8.00021-4 · Cited by 437
Metadata
- Authors
- Viceira, L. M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2001-04
- Volume
- 56
- Issue
- 2
- Pages
- 433-470
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3023965996
- Cited by
- 753
- References
- 0
- FWCI
- 95.02
- Type
- journal article
- Language
- en
- Open access
- green
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- Viceira, L. M. (2001). Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income. The Journal of Finance. https://doi.org/10.1111/0022-1082.00333
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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.
