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

Christine W. Lai, Tsung Chyan Lai

    研究成果: 雜誌貢獻文章同行評審

    摘要

    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.

    原文英語
    頁(從 - 到)711-718
    頁數8
    期刊Applied Economics Letters
    16
    發行號7
    DOIs
    出版狀態已發佈 - 2009 七月 16

    ASJC Scopus subject areas

    • Economics and Econometrics

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