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Comment on "Aging Population, Retirement, and Risk Taking"

文献类型：期刊论文

作者Huang, Rachel J.4,5; Tzeng, Larry Y.1,5,6; Wang, Jr-Yan1; Zhao, Lin2
刊名MANAGEMENT SCIENCE
出版日期2020-06-01
卷号66期号:6页码:2792-2795
关键词asymptotic stochastic dominance maximum geometric mean strategy long-run investment
ISSN号0025-1909
DOI10.1287/mnsc.2018.3052
英文摘要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 themarginal 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.
资助项目Center for Research in Economic Theory and Applications from the Featured Areas Research Center Program within Ministry of Education in Taiwan[107L9002] ; Ministry of Science and Technology in Taiwan[MOST 107-3017-F-002-004] ; E.SUNCommercial Bank ; National Center for Mathematics and Interdisciplinary Sciences ; National Natural Science Foundation of China[71301161] ; National Natural Science Foundation of China[71871212] ; National Natural Science Foundation of China[71532013] ; Chinese Academy of Sciences
WOS研究方向Business & Economics ; Operations Research & Management Science
语种英语
WOS记录号WOS:000540464800026
出版者INFORMS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/51623]  
专题中国科学院数学与系统科学研究院
通讯作者Huang, Rachel J.
作者单位1.Natl Taiwan Univ, Ctr Res Econometr Theory & Applicat, Taipei 106, Taiwan
2.Natl Taiwan Univ, Dept Int Business, Taipei 106, Taiwan
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
4.Natl Cent Univ, Dept Finance, Taoyuan 320, Taiwan
5.Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei 116, Taiwan
6.Natl Taiwan Univ, Dept Finance, Taipei 106, Taiwan
推荐引用方式
GB/T 7714		 Huang, Rachel J.,Tzeng, Larry Y.,Wang, Jr-Yan,et al. Comment on "Aging Population, Retirement, and Risk Taking"[J]. MANAGEMENT SCIENCE,2020,66(6):2792-2795.
APA Huang, Rachel J.,Tzeng, Larry Y.,Wang, Jr-Yan,&Zhao, Lin.(2020).Comment on "Aging Population, Retirement, and Risk Taking".MANAGEMENT SCIENCE,66(6),2792-2795.
MLA Huang, Rachel J.,et al."Comment on "Aging Population, Retirement, and Risk Taking"".MANAGEMENT SCIENCE 66.6(2020):2792-2795.

入库方式： OAI收割

来源：数学与系统科学研究院

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