Asset Market Participation and Portfolio Choice over the Life‐Cycle

• DOI: 10.1111/jofi.12484
• Publication Date: 2017-01-20T09:00:51Z
• Authors: ANDREAS FAGERENG; CHARLES GOTTLIEB; LUIGI GUISO
• Keywords: Norwegian

ABSTRACT Using error‐free data on life‐cycle portfolio allocations of a large sample Norwegian households, we document double adjustment as households age: rebalancing the composition away from stocks they approach retirement and stock market exit after retirement. When structurally estimating an extended model, parameter combination that best fits is one with relatively risk aversion, small per‐period participation cost, yearly probability loss in line frequency crashes Norway.