Comment on “aging population, retirement, and risk taking”
Journal
Management Science
Journal Volume
66
Journal Issue
6
Pages
2792-2795
Date Issued
2020
Author(s)
Abstract
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 the marginal 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. This paper was accepted by Karl Diether, finance.
SDGs
Type
review