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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Metadata
| Key | Value |
|---|---|
| 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) |
| authors | {"family-names"=>"Velásquez-Giraldo", "given-names"=>"Mateo", "orcid"=>"https://orcid.org/0000-0001-7243-6776"} {"family-names"=>"Zahn", "given-names"=>"Matthew", "orcid"=>"https://orcid.org/0000-0003-1148-2036"} |
| cff-version | 1.2.0 |
| date-published-original-paper | |
| date-released | |
| identifiers | {"type"=>"url", "value"=>"https://github.com/econ-ark/CGMPortfolio"} |
| 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"} |
| keywords | Portfolio Risky Assets Consumption Life Cycle |
| 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. |
| notebooks | Code/Python/CGMPortfolio.ipynb |
| references | {"authors"=>[{"family-names"=>"Cocco", "given-names"=>"Joao F."}, {"family-names"=>"Gomes", "given-names"=>"Francisco J."}, {"family-names"=>"Maenhout", "given-names"=>"Pascal J."}], "date-released"=># |
| remark-name | CGMPortfolio |
| repository-code | https://github.com/econ-ark/CGMPortfolio |
| tags | REMARK |
| date |