Ambiguity Aversion, Portfolio Choice, and Life Expectancy
研究在生命周期模型中，模糊厌恶如何影响财富和年龄对投资组合的选择，发现年长和富裕者更乐观，且预期寿命增长会扩大年龄组间的投资差异。
ABSTRACT This paper studies how wealth and aging affect portfolio choices in a life‐cycle model with ambiguity aversion. Ambiguity aversion implies wealthier and older agents are endogenously more optimistic about risky asset returns, relative to poorer/younger agents. As life expectancy grows, old agents become even more optimistic, while young agents become more pessimistic, amplifying age gaps in portfolio composition. We find evidence for the mechanism in survey data on portfolios and subjective life expectancy. In a quantitative extension of the model, plausible life expectancy projections imply a 26% increase in the age gradient of conditional risky asset shares between 2019 and 2100.