Comment on “aging population, retirement, and risk taking”

Rachel J. Huang; Larry Y. Tzeng; Jr Yan Wang; Lin Zhao

doi:10.1287/mnsc.2018.3052

Comment on “aging population, retirement, and risk taking”

Rachel J. Huang, Larry Y. Tzeng, Jr Yan Wang, Lin Zhao

Department of Finance

Research output: Contribution to journal › Review article › peer-review

3 Scopus citations

Abstract

Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415-1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite investment horizons. By assuming that the terminal wealth follows a log-normal distribution and that the marginal utility is bounded, he offers the necessary and sufficient distributional condition for AFSD. Given Levy's setting, we provide a counterexample to show that his condition is not necessary and offer the correct equivalent distributional condition for AFSD.

Original language	English
Pages (from-to)	2792-2795
Number of pages	4
Journal	Management Science
Volume	66
Issue number	6
DOIs	https://doi.org/10.1287/mnsc.2018.3052
State	Published - Jun 2020

Keywords

Asymptotic stochastic dominance
Long-run investment
Maximum geometric mean strategy

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abstract = "Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415-1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite investment horizons. By assuming that the terminal wealth follows a log-normal distribution and that the marginal utility is bounded, he offers the necessary and sufficient distributional condition for AFSD. Given Levy's setting, we provide a counterexample to show that his condition is not necessary and offer the correct equivalent distributional condition for AFSD.",

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AU - Tzeng, Larry Y.

AU - Wang, Jr Yan

AU - Zhao, Lin

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N2 - Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415-1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite investment horizons. By assuming that the terminal wealth follows a log-normal distribution and that the marginal utility is bounded, he offers the necessary and sufficient distributional condition for AFSD. Given Levy's setting, we provide a counterexample to show that his condition is not necessary and offer the correct equivalent distributional condition for AFSD.

AB - Levy [Levy H (2016) Aging population, retirement, and risk taking. Management Sci. 62(5):1415-1430.] proposes asymptotic first-degree stochastic dominance (AFSD) as a distribution-ranking criterion for all nonsatiable decision makers with infinite investment horizons. By assuming that the terminal wealth follows a log-normal distribution and that the marginal utility is bounded, he offers the necessary and sufficient distributional condition for AFSD. Given Levy's setting, we provide a counterexample to show that his condition is not necessary and offer the correct equivalent distributional condition for AFSD.

KW - Asymptotic stochastic dominance

KW - Long-run investment

KW - Maximum geometric mean strategy

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Comment on “aging population, retirement, and risk taking”

Abstract

Keywords

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