Asset allocation in later life

Ning Rong

Research output: Contribution to journalMeeting abstract


Purpose: To study optimal consumption, portfolio choice and retirement decisions jointly under the framework where economic agent has discretionary decision to enter the retirement. Originality: It is the first study which considers the agent’s utility follows Generalized Log utility form. Key literature / theoretical perspective: The methodology for deriving the model is defined by Karatzas and shereve (1998), Farhi and Panageas (2007), Shin et al. (2008). Design/methodology/approach: Closed form solutions are obtained by martingale transformation for the budget constraint. Free boundary methods solve the optimal stopping time or agent’s retirement time. Findings: By including the option to retire tends to decrease consumption levels and marginal propensity to consume before retirement, and increase agent’s exposures to risky asset as she prepares for retirement. After controlling for the higher risk aversion, the agent experiences the drop in consumption and risky asset exposures initially, however, as I show later on, as agent ages, the risky aversion factor gradually converges to zero. Research limitations/implications: Model is based on two crucial assumptions of complete market and agent have rational expectation, by relaxation of these, it will be remained as an open question for the further research. Practical and Social implications: Provide the guidance to Financial planner or Pension fund managers as the insights into the investment behavior of economic agent before and after retirement.
Original languageEnglish
Pages (from-to)69-70
Number of pages2
JournalExpo 2010 Higher Degree Research : book of abstracts
Publication statusPublished - 2010
EventHigher Degree Research Expo (6th : 2010) - Sydney
Duration: 19 Nov 201019 Nov 2010


  • Continuous time
  • Martingale
  • optimal stopping time
  • generalized log utility


Dive into the research topics of 'Asset allocation in later life'. Together they form a unique fingerprint.

Cite this