The Bond-Stock Mix: A New Insight

35 Pages Posted: 16 May 2011 Last revised: 30 Jan 2012

See all articles by Sami Attaoui

Sami Attaoui

NEOMA Business School

Pierre Six

Neoma Business School

Multiple version iconThere are 2 versions of this paper

Date Written: January 29, 2012


This paper examines the issue of asset allocation that can be implemented by a retiree who faces health expenditures. We contribute to the literature by considering a higher risk aversion towards consumption than towards wealth. Our results show that: i) only the risks of the opportunity set linked to interest rates are relevant; ii) the large risk aversion towards consumption leads to a substantial increase of the demand in bonds. These findings provide useful insights for the management of wealth of pension funds.

Keywords: Bond-stock mix, pension funds, consumption, bequest, risk aversion, investment horizon

JEL Classification: G13

Suggested Citation

Attaoui, Sami and Six, Pierre, The Bond-Stock Mix: A New Insight (January 29, 2012). International Conference of the French Finance Association (AFFI), 11-13 May 2011. Available at SSRN: or

Sami Attaoui (Contact Author)

NEOMA Business School ( email )

Boulevard André Siegfried - BP 215
Mont Saint Aignan, 76825

Pierre Six

Neoma Business School ( email )

1, rue du Maréchal Juin - BP 188
Mont Saint Aignan Cedex, Normandy 76825

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