Portfolio Choice
Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice
... a portfolio over multiple pe- riods in the presence of mean-reversion we need to examine prior ...the portfolio selection and the consumption ...multi-period portfolio choice problem in the ...
22
Forced Retirement Risk and Portfolio Choice
... Second, this paper contributes to a small but growing literature on the uncertainty in retire- ment timing. Chan and Stevens (2001) show that in the US involuntary job loss is not rare, and returning to the labor market ...
40
Essays on consumer portfolio choice and credit risk
... This phenomenon obviously contradicts traditional portfolio choice theory. Following the theories in Merton (1969, 1971) and Samuelson (1969), with complete markets, if investors are living off financial ...
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An Empirical Analysis of Financial Optimism and Portfolio Choice
... When reviewing previous work on optimism in the above sections, I identified two problems in defining optimism in the literature. First, optimism is mostly measured without specifying a particular social domain. For ...
326
On the Effect of Premia and Penalties on the Optimal Portfolio Choice
... Note that the maximization problem leading to an optimal portfolio choice is now discontinuous at all points on the frontier of the above regions. The next propositions establish conditions on the threshold ...
5
Asset Liquidity and International Portfolio Choice
... a portfolio-choice model with a heterogeneous per-unit trading cost and a homogenous fixed entry cost produces an environment that is consistent with this stylized ...
42
Monetary Policy Shocks and Portfolio Choice
... of portfolio choice, and how asset price movements are related to portfolio decisions of investors across countries as well as across …nancial asset ...analyses portfolio rebalancing versus ...
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Optimal consumption and portfolio choice with ambiguity
... We consider optimal consumption and portfolio choice in the pres- ence of Knightian uncertainty in continuous-time. We embed the prob- lem into the new framework of stochastic calculus for such settings, ...
42
Borrowing Constraints, Portfolio Choice, and Precautionary
... Papers studying effects of borrowing constraints on portfolio choice under labor income risk include Constantinides et al. (1998), Gakidis (1998), Hochguertel (1998), Koo (1991), Marcet and Singleton ...
36
New Evidence on Taxes and Portfolio Choice
... Table 1 suggests that this is indeed the case. Relative to a control group that was unaffected by the tax reform, wives that experienced a significant decrease in their effective marginal tax rate were 8.5% points more ...
46
New evidence on taxes and portfolio choice
... determinant of the effective marginal tax rate on capital income faced by the household. Table 6 takes up the question of instrument validity, via a placebo test. Here we re- estimate Equation (1), for each asset ...
41
Life Cycle Portfolio Choice: A Swiss Perspective
... The findings are summarized in figures 4 and 7. These graphs can be used as a rough guideline of how a given investor type should invest relative to the other types. Additionally, we stress the following lessons: ...
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Essays on Asset Pricing and Portfolio Choice
... These papers also find that learning induces a negative hedging demand, but disagree on the magnitude of its effect on the investor’s portfolio choice. Brandt et al. (2005) find that the negative hedging ...
190
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
... Portfolio choice is a central issue for investors and asset ...dynamic portfolio choice depends on many conditioning (or forecasting) variables, which reflect the varying investment ...
29
Financial Literacy, Portfolio Choice, and Financial Well-Being
... We also took financial wellbeing into consideration in this study. Financial wellbeing has been defined in various way, such as retirement planning (Lusardi & Mitchell 2005), financial management (Lusardi & ...
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The Effect of Marital Status and Children on Savings and Portfolio Choice
... individual portfolio decisions, imagine that a couple with two children living at home gets a ...optimal portfolio choice is through its effect on savings as the former spouses update their desired ...
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Static Portfolio Choice under Cumulative Prospect Theory
... We derive the optimal portfolio choice for an investor who behaves according to Cumulative Prospect Theory. The study is done in a one- period economy with one risk-free asset and one risky asset, and the ...
41
Corporate Control, Portfolio Choice, and the Decline of Banking
... Tests of the model are reported on in Section V. Using data on the equity ownership structure of large bank holding companies we test the predictions of our corporate control model of banking against an alternative model ...
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Portfolio choice: evidence from new-borns
... A large amount of literature has reported the important effect of education on house- hold portfolio choice (Jin, 2011; Haliassos and Bertaut, 1995). Unsophisticated investors retrench from trading risky ...
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Essays on consumer portfolio choice and credit risk
... household portfolio choice has received increasing attention in financial economics, spurred mostly by the mystery of why so few American families held stocks even though the equity premium was very ...
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