REMARK: Consumption and Portfolio Choice Over the Life Cycle

CGMPortfolio

This REMARK is an attempt to reproduce the main results of Cocco, Gomes, & Maenhout (2005), ‘Consumption and Portfolio Choice Over the Life Cycle’ (https://academic.oup.com/rfs/article-abstract/18/2/491/1599892)

References

Cocco, J. F., Gomes, F. J., & Maenhout, P. J. (2005). Consumption and portfolio choice over the life cycle. The Review of Financial Studies, 18(2), 491-533.

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Abstract

This REMARK is an attempt to reproduce the main results of Cocco, Gomes, & Maenhout (2005), 'Consumption and Portfolio Choice Over the Life Cycle' (https://academic.oup.com/rfs/article-abstract/18/2/491/1599892)

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git clone https://github.com/econ-ark/CGMPortfolio --recursive
cd CGMPortfolio
jupyter notebook Code/Python/CGMPortfolio.ipynb

Metadata

Key	Value
cff-version	1.1.0
message	For a consumption/saving problem with transitory and permanent shocks and unbounded (CRRA) utility, this paper derives conditions under which a nondegenerate solution exists, and under which a target wealth ratio exists; all results are paired with illustrative numerical solutions.
authors	{"family-names"=>"Velásquez-Giraldo", "given-names"=>"Mateo", "orcid"=>"0000-0001-7243-6776"} {"family-names"=>"Zahn", "given-names"=>"Matthew", "orcid"=>"0000-0003-1148-2036"}
abstract	This REMARK is an attempt to reproduce the main results of Cocco, Gomes, & Maenhout (2005), 'Consumption and Portfolio Choice Over the Life Cycle' (https://academic.oup.com/rfs/article-abstract/18/2/491/1599892)
date-released
remark-version
references	{"type"=>"article", "authors"=>[{"family-names"=>"Cocco", "given-names"=>"Joao F."}, {"family-names"=>"Gomes", "given-names"=>"Francisco J."}, {"family-names"=>"Maenhout", "given-names"=>"Pascal J."}], "title"=>"Consumption and Portfolio Choice over the Life Cycle", "doi"=>"https://doi.org/10.1093/rfs/hhi017", "date"=>#, "publisher"=>"The Review of Financial Studies"}
github_repo_url	https://github.com/econ-ark/CGMPortfolio
remark-name	CGMPortfolio
notebooks	Code/Python/CGMPortfolio.ipynb
identifiers-paper	{"type"=>"url", "value"=>"https://academic.oup.com/rfs/article-abstract/18/2/491/1599892"} {"type"=>"doi", "value"=>"https://doi.org/10.1093/rfs/hhi017"}
date-published-original-paper
tags	REMARK
identifiers	{"type"=>"url", "value"=>"https://github.com/econ-ark/CGMPortfolio"}
keywords	Portfolio Risky Assets Consumption Life Cycle
date