The DOI matches its Crossref record; 77 of the 77 references it cites were found in a registry or an index.
Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
Open accessAbstract
We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes “stock‐like.” However, for older agents with shorter times‐to‐retirement, cointegration does not have sufficient time to act, and thus their human capital becomes more “bond‐like.” Together, these effects create hump‐shaped life‐cycle portfolio holdings, consistent with empirical observation. These results hold even when asset return predictability is accounted for.
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Cites
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Cited by
Gomes, F., Haliassos, M., & Ramadorai, T. (2021) · Journal of Economic Literature · doi:10.1257/jel.20201461 · Cited by 396
Metadata
- Authors
- BENZONI, L., COLLIN‐DUFRESNE, P., & GOLDSTEIN, R. S.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2007-09-04
- Volume
- 62
- Issue
- 5
- Pages
- 2123-2167
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2117765060
- Cited by
- 466
- References
- 77
- FWCI
- 96.22
- Type
- journal article
- Language
- en
- Open access
- bronze
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- BENZONI, L., COLLIN‐DUFRESNE, P., & GOLDSTEIN, R. S. (2007). Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2007.01271.x
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