We solve for optimal consumption and portfolio choice in a life-cycle model with short-sales and borrowing constraints, undiversifiable labor income risk and a predictable, time-varying, equity premium and show that the investor pursues aggressive market timing strategies. Importantly, in the...

We propose a normative strategic asset allocation model for long horizon sovereign wealth funds (SWFs) subject to a sustainable spending constraint and background risks. SWFs should have lower stock market exposure as they mature and should use the SWF to smooth business cycle shocks, rather...