Comment on “Aging Population, Retirement, and Risk Taking”
Published Online:29 Aug 2019https://doi.org/10.1287/mnsc.2018.3052
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.
