Author: Publisher:
ISBN: 9789056684624
Category :
Languages : en
Pages :
Book Description
Essays on Intertemporal Consumption and Portfolio Choice
Author: Essays in Optimal Consumption and Portfolio Choice
Author: Jialun LiEssays on Stochastic Intertemporal Household Choice
Author: Myung-ho ParkEssays on Expectations-Based Reference-Dependent Consumption and Portfolio Choice
Author: Michaela Friederike Annabelle PagelPublisher:
ISBN:
Category :
Languages : en
Pages : 169
Book Description
Three Essays on Consumption, Portfolio Choice and Retirement Accounts
Author: Pu LiPublisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 113
Book Description
An Intertemporal Model of Consumption and Portfolio Allocation
Author: Hans AnderssonPublisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 50
Book Description
Consumption and Portfolio Decisions when Expected Returns are Time Varying
Author: John Y. CampbellPublisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 88
Book Description
This paper proposes and implements a new approach to a classic unsolved problem in financial economics: the optimal consumption and portfolio choice problem of a long-lived investor facing time-varying investment opportunities. The investor is assumed to be infinitely-lived, to have recursive Epstein-Zin-Weil utility, and to choose in discrete time between a riskless asset with a constant return, and a risky asset with constant return variance whose expected log return follows and AR(1) process. The paper approximates the choice problem by log-linearizing the budget constraint and Euler equations, and derives an analytical solution to the approximate problem. When the model is calibrated to US stock market data it implies that intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose risk-aversion coefficients exceed one.
Essays on Consumption, Insurance, and Portfolio Choice Over the Life Cycle
Author: Lorenz S. SchendelA Note on Robustness in Merton's Model of Intertemporal Consumption and Portfolio Choice
Author: Paolo VaniniPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The paper presents a robust version of a simple two-assets Merton (1969, Review of Economics and Statistics 51, 247-57) model where the optimal choices and the implied shadow market prices of risk for a representative robust decision maker (RDM) can be easily described. With the exception of the log-utility case, precautionary behaviour is induced in the optimal consumption-investment rules through a substitution of investment in risky assets with both current consumption and riskless saving. For the log-utility case, precautionary behaviour arises only through a substitution between risky and riskless assets. On the financial side, the decomposition of the market price of risk in a standard consumption based component and a further price for model uncertainty risk (which is positively related to the robustness parameter) is independent of the underlying risk aversion parameter.
Author: Alan Robert Jung