Journal of Finance, Volume 72, Issue 2, April 2017, Pages 705-750

资本市场参与和在生命周期中的投资组合选择

作者：Andreas Fagereng (Statistics Norway), Charles Gottlieb (University of St. Gallen), Luigi Guiso (Einaudi Institute for Economics and Finance)

摘要：在研究生命周期资产组合配置时，我们通过使用挪威家庭的大样本无偏差数据记录了对家庭年龄的双重调整的结果：当接近退休时通过减少股票比重重新配置资产组合以及退休后完全退出股票市场。当在结构上估计一个延长的生命周期模型时，对数据拟合程度最好的参数组合具有相对较大的风险规避性质、每个周期的参与成本较低以及股票市场具有较大损失的概率值与挪威股市崩盘的概率值一致。

Asset Market Participation and Portfolio Choice over the Life-Cycle

Andreas Fagereng (Statistics Norway), Charles Gottlieb (University of St. Gallen), Luigi Guiso (Einaudi Institute for Economics and Finance)

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.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12484/full

翻译：秦秀婷