Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence
构建了一个生命周期模型，通过引入不可保的劳动收入风险、适度的风险厌恶异质性和股票市场进入成本，同时解释了股票市场参与率和参与者的资产配置决策。
ABSTRACT We show that a life‐cycle model with realistically calibrated uninsurable labor income risk and moderate risk aversion can simultaneously match stock market participation rates and asset allocation decisions conditional on participation. The key ingredients of the model are Epstein–Zin preferences, a fixed stock market entry cost, and moderate heterogeneity in risk aversion. Households with low risk aversion smooth earnings shocks with a small buffer stock of assets, and consequently most of them (optimally) never invest in equities. Therefore, the marginal stockholders are (endogenously) more risk averse, and as a result they do not invest their portfolios fully in stocks.