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

doi:10.1287/mnsc.2018.3052

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	Comment on "Aging Population, Retirement, and Risk Taking"
	Huang, Rachel J.1,2; Tzeng, Larry Y.2,3,4; Wang, Jr-Yan 4; Zhao, Lin 5
	2020-06-01
发表期刊	MANAGEMENT SCIENCE
ISSN	0025-1909
卷号	66 期号:6 页码:2792-2795
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.
关键词	asymptotic stochastic dominance maximum geometric mean strategy long-run investment
DOI	10.1287/mnsc.2018.3052
收录类别	SCI
语种	英语
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
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000540464800026
出版者	INFORMS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51624
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 Cent Univ, Dept Finance, Taoyuan 320, Taiwan 2.Natl Chengchi Univ, Risk & Insurance Res Ctr, Taipei 116, Taiwan 3.Natl Taiwan Univ, Dept Finance, Taipei 106, Taiwan 4.Natl Taiwan Univ, Ctr Res Econometr Theory & Applicat, Taipei 106, Taiwan 5.Natl Taiwan Univ, Dept Int Business, Taipei 106, Taiwan 6.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
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.