realistic, time-dependent life-cycle consumption and relative investment profiles shows that only our extended model with time-varying preference parameters provides sufficient flexibility for an adequate fit. This is of particular interest to life-cycle products for (private) pension investments or pension insurance in general.'
address:
- 'Department of Mathematics, Technical University of Munich, Munich, Germany'
- 'Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, Australia'
author:
- Andreas Lichtenstern
- 'Pavel V. Shevchenko'
- Rudi Zagst
bibliography:
- 'Bibliography.bib'
title: 'Optimal life-cycle consumption and investment decisions under age-dependent risk preferences[^1]'
---

Pension investments ,optimal life-cycle consumption and investment ,age-dependent risk aversion ,HARA utility function ,martingale method

G11 ,G22 ,C61 ,D14

Introduction {#sec:Introduction}
============

A suitable management of pensions needs to consider earnings/contributions and investment, but should also account for the required consumption during the accumulation and/or decumulation phase. For this sake, in this paper we consider the finite horizon portfolio problem of maximizing expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken into account. Within this framework, [@LaknerNygren2006] describe 