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Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income

https://doi.org/10.1111/0022-1082.00333
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Nontraded assets in incomplete markets
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The equity premium: A puzzle
inferredcites →https://doi.org/10.1016/0304-405x(77)90038-1openalex-snapshot
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Government debt and social security in a life-cycle economy
inferredcites →https://doi.org/10.1016/s0304-3932(01)00066-6openalex-snapshot
Precautionary saving and portfolio allocation: DP by GMM
inferredcites →https://doi.org/10.1017/s1365100597002034openalex-snapshot
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inferredcites →https://doi.org/10.1086/261297openalex-snapshot
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inferredcites →https://doi.org/10.1093/rfs/9.1.141openalex-snapshot
Dynamic Nonmyopic Portfolio Behavior
inferredcites →https://doi.org/10.1111/0022-1082.00162openalex-snapshot
Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
inferredcites →https://doi.org/10.1111/0022-1082.00205openalex-snapshot
Investing for the Long Run when Returns Are Predictable
inferredcites →https://doi.org/10.1111/0022-1082.00244openalex-snapshot
Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk
inferredcites →https://doi.org/10.1111/1468-2354.00084openalex-snapshot
Taxation of Labor Income and the Demand for Risky Assets
inferredcites →https://doi.org/10.1162/003355397555109openalex-snapshot
Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis
inferredcites →https://doi.org/10.1162/003355399556043openalex-snapshot
Consumption and Portfolio Decisions when Expected Returns are Time Varying
inferredcites →https://doi.org/10.1257/aer.91.1.99openalex-snapshot
Who Should Buy Long-Term Bonds?
inferredcites →https://doi.org/10.1515/9781400830213openalex-snapshot
The Econometrics of Financial Markets
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Why Should Older People Invest Less in Stocks Than Younger People?
inferredcites →https://doi.org/10.2307/1911160openalex-snapshot
Proper Risk Aversion
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An Intertemporal Capital Asset Pricing Model
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Lifetime Portfolio Selection By Dynamic Stochastic Programming
inferredcites →https://doi.org/10.2307/1926560openalex-snapshot
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/20076197openalex-snapshot
Predictive Distributions Based on Longitudinal Earnings Data
inferredcites →https://doi.org/10.2307/2171853openalex-snapshot
On the Concavity of the Consumption Function
inferredcites →https://doi.org/10.2307/2171866openalex-snapshot
Changes in Background Risk and Risk Taking Behavior
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Risk Vulnerability and the Tempering Effect of Background Risk
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The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence
inferredcites →https://doi.org/10.2307/2938334openalex-snapshot
Precautionary Saving in the Small and in the Large
inferredcites →https://doi.org/10.2307/2938366openalex-snapshot
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inferredcites →https://doi.org/10.2307/2951719openalex-snapshot
Standard Risk Aversion
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Intertemporal Asset Pricing Without Consumption Data
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The Nature of Precautionary Wealth
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Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
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Consumption Over the Life Cycle

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Optimal consumption and asset allocation with unknown income growth
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2009.06.015openalex-snapshot
Bonds versus stocks: Investors’ age and risk taking
inferred← citeshttps://doi.org/10.1016/j.joep.2007.12.003openalex-snapshot
Misinformed and informed asset allocation decisions of self-directed retirement plan members
inferred← citeshttps://doi.org/10.1016/j.joep.2018.03.001openalex-snapshot
Does cognitive aging affect portfolio choice?
inferred← citeshttps://doi.org/10.1016/j.jpolmod.2005.10.010openalex-snapshot
Life-cycle personal accounts proposal for Social Security: An evaluation of President Bush's proposal
inferred← citeshttps://doi.org/10.1016/j.jpubeco.2014.01.007openalex-snapshot
Linking benefits to investment performance in US public pension systems
inferred← citeshttps://doi.org/10.1016/j.jue.2005.04.001openalex-snapshot
Labor income, housing prices, and homeownership
inferred← citeshttps://doi.org/10.1016/j.najef.2006.03.002openalex-snapshot
Has the equity premium been low for 40 years?
inferred← citeshttps://doi.org/10.1016/j.najef.2013.09.001openalex-snapshot
Portfolio selection and portfolio frontier with background risk
inferred← citeshttps://doi.org/10.1016/j.najef.2014.08.004openalex-snapshot
The potential effect of US baby-boom retirees on stock returns
inferred← citeshttps://doi.org/10.1016/j.pacfin.2020.101452openalex-snapshot
Chinese economic policy uncertainty and U.S. households' portfolio decisions
inferred← citeshttps://doi.org/10.1016/j.qref.2013.03.001openalex-snapshot
A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?
inferred← citeshttps://doi.org/10.1016/j.red.2010.01.002openalex-snapshot
Rational inattention, long-run consumption risk, and portfolio choice
inferred← citeshttps://doi.org/10.1016/j.red.2021.12.002openalex-snapshot
Stock market participation: The role of human capital
inferred← citeshttps://doi.org/10.1016/j.ribaf.2016.04.002openalex-snapshot
Do academic investment insights benefit society?
inferred← citeshttps://doi.org/10.1016/j.rico.2022.100113openalex-snapshot
Optimal control of multiple Markov-switching stochastic systems with numerical applications
inferred← citeshttps://doi.org/10.1016/j.sciaf.2025.e02873openalex-snapshot
Behaviourally adaptive optimization strategy for retirement wealth allocation under uncertainty
inferred← citeshttps://doi.org/10.1016/j.socscimed.2023.116117openalex-snapshot
Health accidents and wealth decline in old age
inferred← citeshttps://doi.org/10.1016/j.worlddev.2025.107253openalex-snapshot
Identification of earnings dynamics using rotating samples over short periods: the case of Chile
inferred← citeshttps://doi.org/10.1016/s0165-1889(02)00055-6openalex-snapshot
Retirement saving with contribution payments and labor income as a benchmark for investments
inferred← citeshttps://doi.org/10.1016/s0304-3932(01)00066-6openalex-snapshot
Precautionary saving and portfolio allocation: DP by GMM
inferred← citeshttps://doi.org/10.1016/s0304-405x(02)00231-3openalex-snapshot
A multivariate model of strategic asset allocation
inferred← citeshttps://doi.org/10.1016/s0304-405x(03)00184-3openalex-snapshot
Selling company shares to reluctant employees: France Telecom's experience
inferred← citeshttps://doi.org/10.1016/s0313-5926(04)50019-xopenalex-snapshot
Superannuation: A Guide to the Field for Australian Economists
inferred← citeshttps://doi.org/10.1016/s1094-2025(03)00059-0openalex-snapshot
Portfolio choice with internal habit formation: a life-cycle model with uninsurable labor income risk
inferred← citeshttps://doi.org/10.1016/s1872-0978(06)01008-8openalex-snapshot
Chapter 8 Perturbation Methods for Dynamic Portfolio Allocation Problems
inferred← citeshttps://doi.org/10.1017/cbo9781316026649.015openalex-snapshot
Risk aversion and financial crisis
inferred← citeshttps://doi.org/10.1017/s0022109000003914openalex-snapshot
Demographics, Stock Market Flows, and Stock Returns
inferred← citeshttps://doi.org/10.1017/s0022109011000196openalex-snapshot
Endogenous Labor/Leisure/Investment Choice under Time Constraints
inferred← citeshttps://doi.org/10.1017/s0022109017000357openalex-snapshot
Stock Market Mean Reversion and Portfolio Choice over the Life Cycle
inferred← citeshttps://doi.org/10.1017/s0022109017001144openalex-snapshot
Life-Cycle Asset Allocation with Ambiguity Aversion and Learning
inferred← citeshttps://doi.org/10.1017/s0022109019000772openalex-snapshot
Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
inferred← citeshttps://doi.org/10.1017/s0022109023000029openalex-snapshot
The Design and Welfare Implications of Mandatory Pension Plans
inferred← citeshttps://doi.org/10.1017/s0022109023000236openalex-snapshot
Industry Clusters and the Geography of Portfolio Choice
inferred← citeshttps://doi.org/10.1017/s0022109026102968openalex-snapshot
Optimal Retirement Saving and Dissaving
inferred← citeshttps://doi.org/10.1017/s1357321700004712openalex-snapshot
Background Risk and Pensions
inferred← citeshttps://doi.org/10.1017/s1474747204001726openalex-snapshot
The cult of the equity for pension funds: should it get the boot?
inferred← citeshttps://doi.org/10.1017/s1474747206002630openalex-snapshot
Asynchronous risk: retirement savings, equity markets, and unemployment
inferred← citeshttps://doi.org/10.1017/s1474747215000220openalex-snapshot
Hyperbolic discounting and life-cycle portfolio choice
inferred← citeshttps://doi.org/10.1017/s1474747219000192openalex-snapshot
Systematic longevity risk: to bear or to insure?
inferred← citeshttps://doi.org/10.1017/s1474747220000153openalex-snapshot
How Good Are Default Investment Policies in Defined Contribution Pension Plans?
inferred← citeshttps://doi.org/10.1017/s1474747221000263openalex-snapshot
Target Date Funds and Portfolio Choice in 401(k) Plans
inferred← citeshttps://doi.org/10.1023/b:hcms.0000020650.16096.23openalex-snapshot
A Modeling Framework for Optimal Long-Term Care Insurance Purchase Decisions in Retirement Planning
inferred← citeshttps://doi.org/10.1057/9780230307230_18openalex-snapshot
Exploiting Asset-Liability Management Concepts in Private Wealth Management
inferred← citeshttps://doi.org/10.1057/s41260-022-00298-6openalex-snapshot
How does retirement affect optimal life cycle portfolio allocation between stocks and bonds?
inferred← citeshttps://doi.org/10.1057/s41283-018-0043-2openalex-snapshot
Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk
inferred← citeshttps://doi.org/10.1057/s41288-026-00380-9openalex-snapshot
Empowering portfolios: health insurance ownership and financial risk taking in South Korea
inferred← citeshttps://doi.org/10.1080/00014788.2016.1277969openalex-snapshot
Understanding investors’ reliance on disclosures of nonfinancial information and mitigating mechanisms for underreliance
inferred← citeshttps://doi.org/10.1080/00036846.2015.1026585openalex-snapshot
Risk management, housing and stockholding
inferred← citeshttps://doi.org/10.1080/00036846.2022.2139810openalex-snapshot
Optimal cryptocurrency portfolio allocation over the life cycle
inferred← citeshttps://doi.org/10.1080/0015198x.2019.1651160openalex-snapshot
Do Investors Consider Nonfinancial Risks When Building Portfolios?
inferred← citeshttps://doi.org/10.1080/10920277.2019.1634596openalex-snapshot
Life-Cycle Planning with Ambiguous Economics and Mortality Risks
inferred← citeshttps://doi.org/10.1080/1331677x.2021.1984269openalex-snapshot
Age structure of the population and the choice of household financial assets
inferred← citeshttps://doi.org/10.1080/13504851.2013.879274openalex-snapshot
Time preference assumptions in normative analyses of household financial decisions
inferred← citeshttps://doi.org/10.1080/1351847x.2010.495480openalex-snapshot
Human capital investment and optimal portfolio choice
inferred← citeshttps://doi.org/10.1080/1351847x.2022.2097884openalex-snapshot
Reference-dependent preferences and stock market participation
inferred← citeshttps://doi.org/10.1080/1406099x.2025.2577017openalex-snapshot
First and second pillar pensions: costs and benefits for contributors in the Baltics
inferred← citeshttps://doi.org/10.1080/14697688.2019.1663903openalex-snapshot
Investment decisions when utility depends on wealth and other attributes
inferred← citeshttps://doi.org/10.1080/14697688.2021.1993624openalex-snapshot
Lifetime consumption and investment with housing, deferred annuities and home equity release
inferred← citeshttps://doi.org/10.1080/14697688.2022.2158918openalex-snapshot
Optimal asset allocation for commodity sovereign wealth funds
inferred← citeshttps://doi.org/10.1080/14697688.2024.2423702openalex-snapshot
Optimal attention allocation: picking alpha or betting on beta?
inferred← citeshttps://doi.org/10.1080/1540496x.2019.1643319openalex-snapshot
Financial Planning Ability, Risk Perception and Household Portfolio Choice
inferred← citeshttps://doi.org/10.1080/21642583.2019.1680327openalex-snapshot
A study on optimal consumption and portfolio with labour income under inflation
inferred← citeshttps://doi.org/10.1080/23311975.2024.2396531openalex-snapshot
Stock market participation puzzle: a systematic review and bibliometric analysis
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