Portfolio Choice over the Life-Cycle When the Stock and Labor Markets Are Cointegrated

By Christopher J. Sullivan. 2008

250 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d13db7b6ce33332285822684a040f11d49933c63

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In Economics and Econometrics

Citations in the corpus

Intergenerational risk sharing within funded pension schemes (2010, unknown): “where pt and bt are the (stochastic) actual contributions paid and benefits received, and Mt is defined as eq(3).”
Do Individual Investors Have Asymmetric Information Based on Work Experience (2011, unknown): “…professionally related stocks are likely to be correlated with future returns on human capital, uninformed individual investors should hedge by avoiding investments in professionally related stocks (e.g., Baxter & Jermann (1997), Cocco et al. (2005), Massa & Simonov (2006), Benzoni et al. (2007)).”
Pension Fund Asset Allocation and Liability Discount Rates: Camouflage and Reckless Risk Taking by U.S. Public Plans? (2012, unknown): “…issue, the increased proportion of retired members, economic theory suggests that asset allocation and liability discount rate choices should be more conservative as the fund matures (see Sundaresan and Zapatero, 1997; Lucas and Zeldes, 2006, 2009; Benzoni, Collin-Dufresne, and Goldstein, 2007).”
Asset Market Participation and Portfolio Choice over the Life-Cycle (2012, unknown): “To extract a large but still computationally manageable sample, we first retain all households defined as above with both spouses alive as of 1995 and with at least NOK 3,000 in financial assets (USD 480 in 1995 prices).”
Why Do Household Portfolio Shares Rise in Wealth (2010, background): “…assumptions that lead to more dependence between stock returns and labor income can have a similar effect to unemployment risk, that is, the portfolio share can rise in cash-on-hand at a sufficiently low level of wealth (Benzoni, Collin-Dufresne, and Goldstein, 2007; Lynch and Tan, 2010).”