Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated
研究当劳动收入与股息协整时，年轻投资者应大幅做空股票，而年长投资者人力资本更似债券，形成驼峰状生命周期投资组合，与实证一致。
ABSTRACT We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes “stock‐like.” However, for older agents with shorter times‐to‐retirement, cointegration does not have sufficient time to act, and thus their human capital becomes more “bond‐like.” Together, these effects create hump‐shaped life‐cycle portfolio holdings, consistent with empirical observation. These results hold even when asset return predictability is accounted for.