Asset Market Participation and Portfolio Choice over the Life-Cycle
| Item Type | Journal paper |
| Abstract | Using error-free data on life-cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life-cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per-period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway. |
| Authors | Fagereng, Andreas; Gottlieb, Charles & Guiso, Luigi |
| Journal or Publication Title | The Journal of Finance |
| Language | English |
| Subjects | economics social sciences finance |
| HSG Classification | contribution to scientific community |
| HSG Profile Area | SEPS - Quantitative Economic Methods |
| Date | 21 March 2017 |
| Publisher | Wiley |
| Place of Publication | Hoboken, NJ [u.a.] |
| Volume | 72 |
| Number | 2 |
| Page Range | 705-750 |
| ISSN | 0022-1082 |
| ISSN-Digital | 1540-6261 |
| Publisher DOI | https://doi.org/10.1111/jofi.12484 |
| Depositing User | Prof. Ph.D Charles Gottlieb |
| Date Deposited | 21 Dec 2016 15:16 |
| Last Modified | 20 Jul 2022 17:29 |
| URI: | https://www.alexandria.unisg.ch/publications/249986 |
DownloadFull text not available from this repository.CitationFagereng, Andreas; Gottlieb, Charles & Guiso, Luigi (2017) Asset Market Participation and Portfolio Choice over the Life-Cycle. The Journal of Finance, 72 (2). 705-750. ISSN 0022-1082 Statisticshttps://www.alexandria.unisg.ch/id/eprint/249986
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