Comment on “Aging Population, Retirement, and Risk Taking”
Rachel J. Huang, Larry Y. Tzeng, Jr-Yan Wang, Lin Zhao
Management Science · 2020 · Volume 66 · Issue 6
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.
Keywords
asymptotic stochastic dominance, maximum geometric mean strategy, long-run investment
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