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Portfolio Choice under Uncertain Lifetime

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  • ANTOINE BOMMIER

Abstract

This paper revisits the theory on life cycle savings and portfolio choice under uncertain lifetime emphasizing the role of temporal risk aversion. It provides new insights on the impact of mortality rates on optimal financial strategies. This is of particular interest for the management of pension funds. Copyright � 2010 Wiley Periodicals, Inc..

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9779.2009.01447.x
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Bibliographic Info

Article provided by Association for Public Economic Theory in its journal Journal of Public Economic Theory.

Volume (Year): 12 (2010)
Issue (Month): 1 (02)
Pages: 57-73

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Handle: RePEc:bla:jpbect:v:12:y:2010:i:1:p:57-73

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Cited by:
  1. Pierre Pestieau & Grégory Ponthiere, 2012. "On the Policy Implications of Changing Longevity," CESifo Working Paper Series 3926, CESifo Group Munich.
  2. repec:hal:wpaper:halshs-00676492 is not listed on IDEAS
  3. Pierre Pestieau & Grégory Ponthière, 2012. "The public economics of increasing longevity," PSE Working Papers halshs-00676492, HAL.
  4. Antoine Bommier, 2011. "Life-Cycle Preferences Revisited," CER-ETH Economics working paper series 11/155, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.

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