Asset Market Participation and Portfolio Choice over the Life‐Cycle
利用挪威家庭生命周期投资组合的无误差数据，发现家庭随年龄增长会调整股票配置并在退休后退出股市，通过结构估计发现高风险厌恶、低参与成本和符合挪威股市崩盘频率的大损失概率最能拟合数据。
ABSTRACT Using error‐free data on life‐cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life‐cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per‐period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway.