整合工作、退休与一生收益决策的最优投资组合研究

中国管理科学 ›› 2014, Vol. 22 ›› Issue (6): 27-33.

整合工作、退休与一生收益决策的最优投资组合研究

王云多

黑龙江大学经济与工商管理学院, 黑龙江哈尔滨 150080

收稿日期:2012-04-09 修回日期:2013-04-06 出版日期:2014-06-20 发布日期:2014-06-26
作者简介:王云多（1976- ），男（汉族），内蒙古呼伦贝尔人，黑龙江大学经济与工商管理学院，副教授，博士，研究方向：人口与劳动经济.
基金资助:
教育部人文社会科学青年基金资助项目（10YJC790132）

Study Optimal Portfolio Choice：Integrating Work, Retirement, and Investment Decisions with Lifetime Payouts

WANG Yun-duo

School of Economic and Business Administration, Heilongjiang University, Haerbin 150080, China

Received:2012-04-09 Revised:2013-04-06 Online:2014-06-20 Published:2014-06-26

摘要/Abstract

摘要： 将工作时间和退休年龄视为内生变量，用一个包含随机死亡概率和不确定劳动收入的标准化模型，探讨个人一生最优投资组合，拓展投资领域，使投资不仅包括购买股票和债券，而且还包括购买年金。研究表明，将劳动力供给看作内生变量不仅能提高老年人股票持有量，而且能极大提高年轻人工作努力程度，显著改善个人一生福利。此外，引入年金也将导致老年人提前退休和更多参与金融活动。最后，如果考虑取决于年龄的闲暇偏好，随着接近退休年龄，个人将减少工作时间和股票持有量。

关键词: 生命周期, 投资组合, 工作时间, 退休

Abstract: For a person who can select her hours of work and also her retirement age, optimal life cycle portfolio asset allocations as well as annuity purchases trajectories are derived in this paper. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, the investment universe is extended to include not only purchase stocks and bonds, but also purchase annuities. The results show that making labor supply endogenous not only raises older peoples' equity share and substantially increases work effort by the young, but also markedly enhances lifetime welfare. Furthermore introducing annuities leads to earlier retirement and higher participation by the elderly in financial markets. Finally, if an age-dependent leisure preference parameter is considered, it shows lower work hours and smaller equity holdings at older ages.

Key words: life cycle, portfolio, working time, retirement

中图分类号:

C971

王云多. 整合工作、退休与一生收益决策的最优投资组合研究[J]. 中国管理科学, 2014, 22(6): 27-33.

WANG Yun-duo. Study Optimal Portfolio Choice：Integrating Work, Retirement, and Investment Decisions with Lifetime Payouts[J]. Chinese Journal of Management Science, 2014, 22(6): 27-33.

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