Portfolio Choice under Uncertain Lifetime

Antoine Bommier

Journal of Public Economic Theory, 2010, vol. 12, issue 1, 57-73

Abstract: This paper revisits the theory on life cycle savings and portfolio choice under uncertain lifetime emphasizing the role of temporal risk aversion. It provides new insights on the impact of mortality rates on optimal financial strategies. This is of particular interest for the management of pension funds.

Date: 2010
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https://doi.org/10.1111/j.1467-9779.2009.01447.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jpbect:v:12:y:2010:i:1:p:57-73

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