메뉴 건너뛰기




Volumn 83, Issue 1, 2007, Pages 87-121

Saving and investing for early retirement: A theoretical analysis

Author keywords

Continuous time; Indivisible labor; Marginal propensity to consume; Optimal stopping; Portfolio choice; Retirement; Savings

Indexed keywords


EID: 33845341057     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.10.004     Document Type: Article
Times cited : (147)

References (38)
  • 1
    • 33845327915 scopus 로고    scopus 로고
    • Aguiar, M., Hurst, E., 2004. Consumption vs. expenditure. Working Paper 10307, NBER.
  • 2
    • 33845318619 scopus 로고    scopus 로고
    • Ameriks, J., Zeldes, S.P., 2001. How do household portfolio shares vary with age? Working Paper, Columbia GSB.
  • 4
    • 84977723792 scopus 로고
    • Efficient analytic approximation of American option values
    • Barone-Adesi G., and Whaley R.E. Efficient analytic approximation of American option values. Journal of Finance 42 2 (1987) 301-320
    • (1987) Journal of Finance , vol.42 , Issue.2 , pp. 301-320
    • Barone-Adesi, G.1    Whaley, R.E.2
  • 5
    • 0013156632 scopus 로고    scopus 로고
    • On the fluctuations in consumption and market returns in the presence of labour and human capital: an equilibrium analysis
    • Basak S. On the fluctuations in consumption and market returns in the presence of labour and human capital: an equilibrium analysis. Journal of Economic Dynamics and Control 23 7 (1999) 1029-1064
    • (1999) Journal of Economic Dynamics and Control , vol.23 , Issue.7 , pp. 1029-1064
    • Basak, S.1
  • 9
    • 0030370039 scopus 로고    scopus 로고
    • On the concavity of the consumption function
    • Carroll C.D., and Kimball M.S. On the concavity of the consumption function. Econometrica 64 4 (1996) 981-992
    • (1996) Econometrica , vol.64 , Issue.4 , pp. 981-992
    • Carroll, C.D.1    Kimball, M.S.2
  • 10
    • 33845341175 scopus 로고    scopus 로고
    • Chan, Y.L., Viceira, L., 2000. Asset allocation with endogenous labor income: the case of incomplete markets. Working Paper, Harvard University.
  • 11
    • 33845337148 scopus 로고    scopus 로고
    • Choi, K.J., Shim, G., 2004. Disutility, optimal retirement, and portfolio selection. Working Paper, Graduate School of Management, Korea Advanced Institute of Science and Technology.
  • 12
    • 0002572741 scopus 로고
    • Individual retirement and savings behavior
    • Diamond P.A., and Hausman J.A. Individual retirement and savings behavior. Journal of Public Economics 23 1-2 (1984) 81-114
    • (1984) Journal of Public Economics , vol.23 , Issue.1-2 , pp. 81-114
    • Diamond, P.A.1    Hausman, J.A.2
  • 13
    • 84986783418 scopus 로고
    • Optimal investment with undiversifiable income risk
    • Duffie D., and Zariphopoulou T. Optimal investment with undiversifiable income risk. Mathematical Finance 3 (1993) 135-148
    • (1993) Mathematical Finance , vol.3 , pp. 135-148
    • Duffie, D.1    Zariphopoulou, T.2
  • 15
    • 33845347142 scopus 로고    scopus 로고
    • Dybvig, P.H., Liu, H., 2005. Lifetime consumption and investment: retirement and constrained borrowing. Working Paper, Washington University in St. Louis.
  • 16
  • 17
    • 33845298078 scopus 로고    scopus 로고
    • Gustman, A.L., Steinmeier, T.L., 2002. Retirement and the stock market bubble. Working Paper 9404, NBER.
  • 18
    • 33751189676 scopus 로고
    • Indivisible labor and the business cycle
    • Hansen G. Indivisible labor and the business cycle. Journal of Monetary Economics 16 3 (1985) 309-327
    • (1985) Journal of Monetary Economics , vol.16 , Issue.3 , pp. 309-327
    • Hansen, G.1
  • 19
    • 0001303966 scopus 로고
    • Labor income, borrowing constraints, and equilibrium asset prices
    • He H., and Pages H.F. Labor income, borrowing constraints, and equilibrium asset prices. Economic Theory 3 4 (1993) 663-696
    • (1993) Economic Theory , vol.3 , Issue.4 , pp. 663-696
    • He, H.1    Pages, H.F.2
  • 20
    • 33845344786 scopus 로고    scopus 로고
    • Jagannathan, R., Kocherlakota, N., 1996. Why should older people invest less in stocks than younger people? Federal Reserve Bank of Minneapolis Quarterly Review, 11-23.
  • 23
  • 24
    • 33845301762 scopus 로고    scopus 로고
    • Kogan, L., Uppal, R., 2001. Risk aversion and optimal portfolio policies in partial and general equilibrium economies. Working Paper 8609, NBER.
  • 25
    • 0031617382 scopus 로고    scopus 로고
    • Consumption and portfolio selection with labor income: a continuous time approach
    • Koo H.K. Consumption and portfolio selection with labor income: a continuous time approach. Mathematical Finance 8 1 (1998) 49-65
    • (1998) Mathematical Finance , vol.8 , Issue.1 , pp. 49-65
    • Koo, H.K.1
  • 26
    • 33845339725 scopus 로고    scopus 로고
    • Lachance, M.-E., 2003. Optimal investment behavior as retirement looms. Working Paper, Wharton.
  • 27
    • 77956841484 scopus 로고
    • Retirement from the labor force
    • Ashenfelter O., and Layard R. (Eds), Elsevier, Amsterdam
    • Lazear E.P. Retirement from the labor force. In: Ashenfelter O., and Layard R. (Eds). Handbook of Labor Economics vol. I (1986), Elsevier, Amsterdam 305-355
    • (1986) Handbook of Labor Economics , vol.I , pp. 305-355
    • Lazear, E.P.1
  • 28
    • 33845327593 scopus 로고    scopus 로고
    • Liu, J., Neis, E., 2002. Endogenous retirement and portfolio choice. Working paper, UCLA.
  • 29
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous-time model
    • Merton R.C. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3 4 (1971) 373-413
    • (1971) Journal of Economic Theory , vol.3 , Issue.4 , pp. 373-413
    • Merton, R.C.1
  • 31
    • 34147175261 scopus 로고
    • Indivisible labor, lotteries and equilibrium
    • Rogerson R. Indivisible labor, lotteries and equilibrium. Journal of Monetary Economics 21 1 (1988) 3-16
    • (1988) Journal of Monetary Economics , vol.21 , Issue.1 , pp. 3-16
    • Rogerson, R.1
  • 32
    • 70350107178 scopus 로고
    • Structural estimation of Markov decision processes
    • Engle R.F., and McFadden D.L. (Eds), North-Holland, Amsterdam
    • Rust J. Structural estimation of Markov decision processes. In: Engle R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. 4 (1994), North-Holland, Amsterdam 3081-3143
    • (1994) Handbook of Econometrics , vol.4 , pp. 3081-3143
    • Rust, J.1
  • 33
    • 0041135888 scopus 로고    scopus 로고
    • How social security and medicare affect retirement behavior in a world of incomplete markets
    • Rust J., and Phelan C. How social security and medicare affect retirement behavior in a world of incomplete markets. Econometrica 65 4 (1997) 781-831
    • (1997) Econometrica , vol.65 , Issue.4 , pp. 781-831
    • Rust, J.1    Phelan, C.2
  • 34
    • 0001968456 scopus 로고    scopus 로고
    • Optimal consumption and portfolio selection with stochastic differential utility
    • Schroder M., and Skiadas C. Optimal consumption and portfolio selection with stochastic differential utility. Journal of Economic Theory 89 (1999) 68-126
    • (1999) Journal of Economic Theory , vol.89 , pp. 68-126
    • Schroder, M.1    Skiadas, C.2
  • 35
    • 0000492875 scopus 로고
    • Pensions, the option value of work, and retirement
    • Stock J.H., and Wise D.A. Pensions, the option value of work, and retirement. Econometrica 58 5 (1990) 1151-1180
    • (1990) Econometrica , vol.58 , Issue.5 , pp. 1151-1180
    • Stock, J.H.1    Wise, D.A.2
  • 36
    • 0031532809 scopus 로고    scopus 로고
    • Valuation, asset allocation and incentive retirements of pension plans
    • Sundaresan S., and Zapatero F. Valuation, asset allocation and incentive retirements of pension plans. Review of Financial Studies 10 (1997) 631-660
    • (1997) Review of Financial Studies , vol.10 , pp. 631-660
    • Sundaresan, S.1    Zapatero, F.2
  • 37
    • 0039192952 scopus 로고    scopus 로고
    • Optimal portfolio choice for long-horizon investors with nontradable labor income
    • Viceira L. Optimal portfolio choice for long-horizon investors with nontradable labor income. Journal of Finance 56 2 (2001) 433-470
    • (2001) Journal of Finance , vol.56 , Issue.2 , pp. 433-470
    • Viceira, L.1
  • 38
    • 0036003373 scopus 로고    scopus 로고
    • Portfolio and consumption decisions under mean-reverting returns: an exact solution for complete markets
    • Wachter J. Portfolio and consumption decisions under mean-reverting returns: an exact solution for complete markets. Journal of Financial and Quantitative Analysis 37 (2002) 63-91
    • (2002) Journal of Financial and Quantitative Analysis , vol.37 , pp. 63-91
    • Wachter, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.