کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091128 1375661 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Portfolio choice and mortality-contingent claims: The general HARA case
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Portfolio choice and mortality-contingent claims: The general HARA case
چکیده انگلیسی

We solve a portfolio choice problem that includes mortality-contingent claims and labor income under general HARA preferences. Our contribution beyond existing literature is to (i) focus on the covariance between shocks to human capital and financial capital, to (ii) model the utility of a family with basic needs and (iii) include life insurance and pension annuity claims in one unified life-cycle model. Our solution employs a “similarity reduction” mapping which reduces the two-dimensional HJB equation into one dimension. This allows for the implementation of a quick numerical scheme. And, when shocks to human capital and financial capital are perfectly correlated, a closed-form expression is obtained as a special case.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 11, November 2008, Pages 2444-2452
نویسندگان
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