Optimal Portfolio Theory prescribes that investors reduce their exposure to financial market risk as they get near to retirement. To assess the effect of ageing on portfolio choices, we study the case of an Italian defined contribution pension fund during the period 2002-08. We find that on...

Data from the Italian Survey of Households Income and Wealth (SHIW) are used to study portfolio allocations change in response to fluctuations in wealth. In particular I test for the prediction of models with habit formation that changes in liquid wealth will affect households' risk aversion and...