Portfolio Choice under Uncertain Lifetime


  • Antoine Bommier, Université des Sciences Sociales (GREMAQ) Manufacture des Tabacs, 21 allée de Brienne, 31000 Toulouse, France (Antoine.Bommier@univ-tlse1.fr).


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.