Financial economics

Philosophy

Econometrics

Paleontology

Actuarial science

Economics

Capital asset pricing model

Stock market

Horse

Portfolio

Computer security

Computer science

Linguistics

Norwegian

Asset (computer security)

Biology

The Journal of Finance

ABSTRACT Using error‐free data on life‐cycle portfolio allocations of a large sample of Norwegian households, we document a double adjustment as households age: a rebalancing of the portfolio composition away from stocks as they approach retirement and stock market exit after retirement. When structurally estimating an extended life‐cycle model, the parameter combination that best fits the data is one with a relatively large risk aversion, a small per‐period participation cost, and a yearly probability of a large stock market loss in line with the frequency of stock market crashes in Norway.

Asset Market Participation and Portfolio Choice over the Life‐Cycle