英文标题：
《Simple Explicit Formula for Near-Optimal Stochastic Lifestyling》
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作者：
Ale\\v{s} \\v{C}ern\\\'y and Igor Melicher\\v{c}\\\'ik
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最新提交年份：
2019
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英文摘要：
  In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income. It is well known that in the presence of credit constraints this paradigm no longer applies. Instead, optimal lifecycle investment gives rise to so-called stochastic lifestyling (Cairns et al., 2006), whereby for low levels of accumulated capital it is optimal to invest fully in stocks and then gradually switch to safer assets as the level of savings increases. In stochastic lifestyling not only does the ratio between risky and safe assets change but also the mix of risky assets varies over time. While the existing literature relies on complex numerical algorithms to quantify optimal lifestyling the present paper provides a simple formula that captures the main essence of the lifestyling effect with remarkable accuracy.
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中文摘要：
在生命周期经济学中，萨缪尔森范式（Samuelson，1969）指出，最佳投资是由当前储蓄和未来收入现值组成的终身财富中的恒定比例。众所周知，在存在信贷约束的情况下，这种模式不再适用。相反，最优生命周期投资产生了所谓的随机寿命划分（Cairns et al.，2006），因此，对于低水平的累积资本，最好是充分投资于股票，然后随着储蓄水平的增加，逐渐转向更安全的资产。在随机寿命中，不仅风险资产和安全资产之间的比率会发生变化，而且风险资产的组合也会随着时间的推移而变化。虽然现有文献依赖于复杂的数值算法来量化最佳寿命，但本文提供了一个简单的公式，以显著的精度捕捉到寿命效应的主要本质。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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