Personal Life-cycle Financial Planning Decision Model

摘要：

This paper derives the optimal consumption and portfolio choice pattern over the life-cycle for households facing uninsurable labor income risk, ruin risk, stochastic capital markets, and uncertain lifetime. Our model posits a dynamic utility maximized with CRRA and Epstein-Zin preferences that has access to liquid stocks, bonds, and illiquid life annuities. The empirical results of this research indicate that the annuity insurance commodity can hedge longevity risk The investor would purchase the annuity insurance commodity, enhancing her own level of utility.

关键词： annuity insurance financial planning decision model life-cycle asset allocation

作者: Quan Sun Hao Cao

作者单位: Business Department, Suzhou Vocational University, Suzhou, China School of Economics and Management, Tongji University, Shanghai, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 552-555

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）