Consumption and Portfolio Choice over the Life Cycle
构建了一个考虑不可交易劳动收入和借贷约束的生命周期模型，发现最优股票配置随年龄递减，忽略劳动收入会带来巨大效用损失，而仅忽略其风险的影响较小。
This article solves a realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and borrowing constraints. Since labor income substitutes for riskless asset holdings, the optimal share invested in equities is roughly decreasing over life. We compute a measure of the importance of human capital for investment behavior. We find that ignoring labor income generates large utility costs, while the cost of ignoring only its risk is an order of magnitude smaller, except when we allow for a disastrous labor income shock. Moreover, we study the implications of introducing endogenous borrowing constraints in this incomplete-markets setting. Copyright 2005, Oxford University Press.