Imperial College London
Alternate

Alexander Michaelides

Business School

Professor of Finance
 
 
 
//

Contact

 

a.michaelides Website CV

 
 
//

Location

 

1.06B53 Prince's GateSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Michaelides:2022:10.1016/j.jbankfin.2021.106357,
author = {Michaelides, A and Zhang, Y},
doi = {10.1016/j.jbankfin.2021.106357},
journal = {Journal of Banking and Finance},
pages = {1--22},
title = {Life-cycle portfolio choice with imperfect predictors},
url = {http://dx.doi.org/10.1016/j.jbankfin.2021.106357},
volume = {135},
year = {2022}
}
Download

RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We study quantitatively how uncertainty in expected stock return predictability affects life-cycle portfolio choice and wealth accumulation in the presence of undiversifiable labor income risk. Households filter information about future expected returns from observed predictors and realized stock returns. Therefore, optimal portfolio choice does not only depend on financial wealth and age, as in more traditional life-cycle models. Counterfactuals demonstrate the magnitude of portfolio demand changes that depend on perceptions about underlying expected returns. On average, life-cycle asset allocation becomes more conservative than models with either i.i.d. stock returns, or with clearer signals about expected stock returns.
AU  - Michaelides,A
AU  - Zhang,Y
DO  - 10.1016/j.jbankfin.2021.106357
EP  - 22
PY  - 2022///
SN  - 0378-4266
SP  - 1
TI  - Life-cycle portfolio choice with imperfect predictors
T2  - Journal of Banking and Finance
UR  - http://dx.doi.org/10.1016/j.jbankfin.2021.106357
UR  - https://www.sciencedirect.com/science/article/pii/S0378426621003083
UR  - http://hdl.handle.net/10044/1/92877
VL  - 135
ER  -
Download