Optimal life cycle asset allocation : understanding the empirical evidence

By Alexander Michaelides, Francisco Gomes. 2003

719 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/84a5e96b86bb7e9ed291d38a584916c4eed2ef40

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Citations in the corpus

Joint measurement of risk aversion, prudence, and temperance (2014, neutral): “Other examples are insurance demand (e.g., Fei and Schlesinger 2008) or life-cycle investment (e.g., Gomes and Michaelides 2005).”
Labor Income Dynamics at Business-Cycle Frequencies:Implications for Portfolio Choice (2011, methodology): “The shape of the relation and the magnitude of the wealth accumulation is consistent with that documented by Gomes and Michaelides (2005) using the 2001 Survey of Consumer Finance (SCF) data.”
An Estimation of Economic Models with Recursive (2007, positive): “number of parameters expanding as the sample size grows (Grenander (1981)). The unknown parameters of the marginal rate of substitution, including the sieve parameters of the continuation value function and the nite-dimensional parameters that are part of the CES utility function, may then be estim”
Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds (2008, neutral): “However, our assumptions of homothetic preferences and linear tax rates make the model scale free with respect to the permanent component of wages exp 1v t 2; i..e, if”
Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts (2011, positive): “Other efforts to match the empirically observed asset allocation include Gomes and Michaelides (2005) who introduce a fixed entry cost for stock market participation and assume a higher correlation between stock returns and labor income. Polkovnichenko (2007) postulate additive habit preferences ins”
Household Portfolio Diversification: A Case for Rank-Dependent Preferences (2005, neutral): “For example, Gomes and Michaelides (2002) assume such participation cost in their model.”
Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation (2008, positive): “However, if one extended the model and allowed for some costs of participating in the stock market, the household might choose nonparticipation (see, e.g., Annette Vissing-Jorgensen 2002; Gomes and Michaelides 2005).”
How Deep is the Annuity Market Participation Puzzle (2007, neutral): “In the individual consumption/savings-portfolio choice literature, a very important participation puzzle arises from the revealed preference of households not to voluntarily buy annuities at retirement, despite the strong theoretical reasons that point towards high demand for these products.”
Intergenerational risk sharing within funded pension schemes (2010, neutral): “More specifically, a fraction α of the funding residual is shared among employees and a fraction β of the funding residual is shared among retirees: pt = p− αSt/R (19) bt = b+ βSt/ (T −R) (20) Under this rule, consumption before and after retirement is related to the funding surplus.”