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

財務金融學系

研究成果: 雜誌貢獻 › 回顧評介論文 › 同行評審

3 引文斯高帕斯（Scopus）

摘要

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.

原文	???core.languages.en_GB???
頁（從 - 到）	2792-2795
頁數	4
期刊	Management Science
卷	66
發行號	6
DOIs	https://doi.org/10.1287/mnsc.2018.3052
出版狀態	已出版 - 6月 2020

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10.1287/mnsc.2018.3052

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AU - Huang, Rachel J.

AU - Tzeng, Larry Y.

AU - Wang, Jr Yan

AU - Zhao, Lin

PY - 2020/6

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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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M3 - 回顧評介論文

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SP - 2792

EP - 2795

JO - Management Science

JF - Management Science

IS - 6

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

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