Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
研究有风险的劳动收入和退休如何影响最优投资组合选择，发现就业者比退休者更应多配置股票，但劳动收入与股票收益的正相关会降低股票持有量。
ABSTRACT This paper examines how risky labor income and retirement affect optimal portfolio choice. With idiosyncratic labor income risk, the optimal allocation to stocks is unambiguously larger for employed investors than for retired investors, consistent with the typical recommendations of investment advisors. Increasing idiosyncratic labor income risk raises investors' willingness to save and reduces their stock portfolio allocation towards the level of retired investors. Positive correlation between labor income and stock returns has a further negative effect and can actually reduce stockholdings below the level of retired investors.