Analysing the c-minus-age strategy for life-cycle investing

Christine W. Lai, Tsung Chyan Lai

    Research output: Contribution to journalArticlepeer-review

    Abstract

    The c-minus-age strategy is a popular strategy for life-cycle investing. When applying the c-minus-age strategy, an investor first chooses an indirect preference parameter c and at age t will hold a percentage of c minus t in equity assets. In this article, we use a linear and a multiplicative mean-variance utility function to quantitatively analyse the term structure of the mean-variance tradeoffs implied by the c-minus-age strategy. We also provide an optimal procedure to determine c, based on the two direct preference parameters, elicited from an investor, of a multiplicative mean-variance utility function.

    Original languageEnglish
    Pages (from-to)711-718
    Number of pages8
    JournalApplied Economics Letters
    Volume16
    Issue number7
    DOIs
    Publication statusPublished - 2009 Jul 16

    ASJC Scopus subject areas

    • Economics and Econometrics

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