The Duration Puzzle in Life-Cycle Investment
Abstract
By analyzing the portfolio allocations of Target Date Funds (TDFs), we document that the observed durations of TDF portfolios are inconsistent with the durations predicted by classical portfolio theory. We call this stylized fact the duration puzzle. We investigate to what extent several extensions of classical portfolio theory can explain the duration puzzle. More specifi cally, we consider the impact of human capital, discount rate variation...
Paper Details
Title
The Duration Puzzle in Life-Cycle Investment
Published Date
Jan 1, 2019
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