We derive the optimal portfolio for an investor with increasing relative risk aversion in a complete continuous …-time securities market. The IRRA assumption helps to mitigate the criticism of constant relative risk aversion that it implies an …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …

-step empirical strategy. First, a minimum distance estimation disentangles the aggregate from the idiosyncratic permanent component …

This paper analyzes optimal portfolio decisions of long-horizon investors with undiversifiable labor income risk and … unambiguously larger for employed investors than for retired investors when labor income risk is uncorrelated with stock return risk … income risk on savings and portfolio choice and finds that, when labor income risk is independent of stock market risk, a …