Stock Market Mean Reversion and Portfolio Choice over the Life Cycle
研究了生命周期模型中，面对股票市场可预测性时，投资者如何调整消费和投资组合，发现积极的市场择时策略能显著提升福利，并提出了增强型目标日期基金。
We solve for optimal consumption and portfolio choice in a life-cycle model with short-sales and borrowing constraints; undiversifiable labor income risk; and a predictable, time-varying, equity premium and show that the investor pursues aggressive market timing strategies. Importantly, in the presence of stock market predictability, the model suggests that the conventional financial advice of reducing stock market exposure as retirement approaches is correct on average, but ignoring changing market information can lead to substantial welfare losses. Therefore, enhanced target-date funds (ETDFs) that condition on expected equity premia increase welfare relative to target-date funds (TDFs). Out-of-sample analysis supports these conclusions.