Non-CRRA preferences may generate rebalancing over the life-cycle. For instance, if individuals have hyperbolic Bernoulli utility
Merton (1971) shows that the optimal portfolio risky share depends on age even without labor income:
With , older investors take less financial risk than the young. Gollier and Zeckhauser (2002) consider a general characterization of risk tolerance and show that departure from linearity generates ...