کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959814 929368 2010 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic asset allocation with stochastic income and interest rates
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Dynamic asset allocation with stochastic income and interest rates
چکیده انگلیسی

We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (PSID) data supports this relation with substantial variation across individuals in the slope of this affine function. The slope is crucial for the valuation and riskiness of human capital and for the optimal stock/bond/cash allocation both in an unconstrained complete market and in an incomplete market with liquidity and short-sales constraints.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 96, Issue 3, June 2010, Pages 433–462
نویسندگان
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