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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..

Suggested Citation

  • Antoine Bommier, 2010. "Portfolio Choice under Uncertain Lifetime," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(1), pages 57-73, February.
  • Handle: RePEc:bla:jpbect:v:12:y:2010:i:1:p:57-73
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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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    References listed on IDEAS

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    1. Antoine Bommier, 2006. "Uncertain Lifetime And Intertemporal Choice: Risk Aversion As A Rationale For Time Discounting," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(4), pages 1223-1246, November.
    2. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472 World Scientific Publishing Co. Pte. Ltd..
    3. Gregor Dorfleitner & Michael Krapp, 2007. "On multiattributive risk aversion: some clarifying results," Review of Managerial Science, Springer, vol. 1(1), pages 47-63, April.
    4. Antoine Bommier & Jean-Charles Rochet, 2006. "Risk Aversion and Planning Horizons," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 708-734, June.
    5. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
    6. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    7. Menahem E. Yaari, 1965. "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer," Review of Economic Studies, Oxford University Press, vol. 32(2), pages 137-150.
    8. Kreps, David M & Porteus, Evan L, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Econometrica, Econometric Society, vol. 46(1), pages 185-200, January.
    9. Scott F. Richard, 1975. "Multivariate Risk Aversion, Utility Independence and Separable Utility Functions," Management Science, INFORMS, vol. 22(1), pages 12-21, September.
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    Cited by:

    1. Pierre Pestieau & Gregory Ponthiere, 2012. "The Public Economics of Increasing Longevity," Hacienda Pública Española, IEF, vol. 200(1), pages 41-74, March.
    2. Pierre Pestieau & Grégory Ponthiere, 2012. "On the Policy Implications of Changing Longevity," CESifo Working Paper Series 3926, CESifo Group Munich.
    3. Antoine Bommier, 2013. "Life-Cycle Preferences Revisited," Journal of the European Economic Association, European Economic Association, vol. 11(6), pages 1290-1319, December.
    4. Pierre Pestieau & Grégory Ponthière, 2012. "The public economics of increasing longevity," Working Papers halshs-00676492, HAL.

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