Antoine Bommier, Université des Sciences Sociales (GREMAQ) Manufacture des Tabacs, 21 allée de Brienne, 31000 Toulouse, France (Antoine.Bommier@univ-tlse1.fr).
Portfolio Choice under Uncertain Lifetime
Article first published online: 20 JAN 2010
© 2010 Wiley Periodicals, Inc.
Journal of Public Economic Theory
Volume 12, Issue 1, pages 57–73, February 2010
How to Cite
BOMMIER, A. (2010), Portfolio Choice under Uncertain Lifetime. Journal of Public Economic Theory, 12: 57–73. doi: 10.1111/j.1467-9779.2009.01447.x
- Issue published online: 20 JAN 2010
- Article first published online: 20 JAN 2010
- Received September 28, 2007; Accepted December 8, 2008.
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.