Aging Population, Retirement, and Risk Taking
研究发现，对于30年及以上的投资期限，最大几何平均组合几乎一阶随机占优于其他策略，且能最大化多种偏好下的期望值，建议生命周期基金在投资期限至少10年时转向该组合以提升投资者福利。
The increase in life expectancy spells disaster at retirement. One can solve this problem by investing in the maximum geometric mean (MGM) portfolio, which is empirically composed from equity. For a T = 30 year horizon or more, the MGM portfolio dominates other investment strategies by almost first-degree stochastic dominance. The MGM portfolio also maximizes the expected value of the commonly employed preferences and prospect theory value function, for various loss aversion parameters and various reference points, for T ≥ 10. Life-cycle funds would increase virtually all investors’ welfare by shifting to the MGM portfolio so long as the investment horizon is at least 10 years. This paper was accepted by Amit Seru, finance.