کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090231 1375622 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficient portfolios when housing needs change over the life cycle
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Efficient portfolios when housing needs change over the life cycle
چکیده انگلیسی
We address the issue of the efficiency of household portfolios in the presence of housing risk. We treat housing stock as an asset and rents as a stochastic liability stream: over the life cycle, households can be short or long in their net-housing position. Efficient financial portfolios are the sum of a standard Markowitz portfolio and a housing risk hedge term that multiplies net housing wealth. Our empirical results show that net housing plays a key role in determining which household portfolios are inefficient. The largest proportion of inefficient portfolios obtains among those with positive net housing, who should invest more in stocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 33, Issue 11, November 2009, Pages 2110-2121
نویسندگان
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