Dynamic Asset Allocation When Bequests are Luxury Goods
Dynamic Asset Allocation When Bequests are Luxury Goods
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DOI：
10.2139/ssrn.2440987
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发表时间：
2013-05
期刊：
影响因子：
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通讯作者：
Jie Ding;Geoffrey H. Kingston;S. Purcal
中科院分区：
文献类型：
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作者：
Jie Ding;Geoffrey H. Kingston;S. Purcal
奢侈的遗产使投资者的最优配置受到年龄的系统性影响：预期的股票配置百分比在整个退休过程中都会上升。当遗赠是奢侈品时，遗赠的边际效用比消费的边际效用下降得更慢。这本质上是较低的避险情绪。当退休人员接近死亡时，她的预期余生效用越来越多地由遗产效用组成，因此产生的风险厌恶程度逐渐降低。退休人员的反应是越来越青睐回报更高的风险资产。与标准偏好相比，奢侈遗产会提高退休人员对风险资产的平均敞口，但在提前退休方面差别很小。
Luxury bequests impart systematic effects of age to an investor's optimal allocation: the expected percentage allocation to equities rises throughout retirement. When bequests are luxuries the marginal utility of bequests declines more slowly than the marginal utility of consumption. This is essentially lower risk aversion. As a retiree approaches death, her expected remaining lifetime utility is increasingly composed of bequest utility, and thus generates progressively lower risk aversion. A retiree responds by increasingly favoring the higher-return risky asset. Compared to standard preferences, luxury bequests elevate a retiree's average exposure to the risky asset, but the difference is small in early retirement.