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Currency Substitution, Portfolio Diversification and Money Demand
Freitas, Miguel Lebre de - Econometric Society - 2004
where asset markets are illiquid. We show that means of payment substitutability opens a channel through which portfolio … by the Portfolio Balance Theory of Currency Substitution (Cuddington, 1983), the results obtained in this paper suggest …
Persistent link: https://www.econbiz.de/10005328925
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The Equity Premium and the Baby Boom
Brooks, Robin - Econometric Society - 2004
growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in …
Persistent link: https://www.econbiz.de/10005328938
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A Life-cycle Model with Housing, Portfolio Allocation, and Mortgage Financing
Nichols, Joseph - Econometric Society - 2004
This paper presents a model developed to explain the life-cycle patterns in both homeownership and portfolio allocation … risky asset share of portfolio. The results show how the desire to consume large homes contributes both to an increase in … the portfolio share of housing and a decrease in the portfolio share of risky assets. This model demonstrates the close …
Persistent link: https://www.econbiz.de/10005328942
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Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership
Ehling, Paul - Econometric Society - 2004
In this article we construct a model in which agents exhibit preference for ownership with respect to a durable (house). Ownership is modeled as a continuous function of debt service normalized by the price of the house. We study the utility optimization problem of an investor not endowed with...
Persistent link: https://www.econbiz.de/10005328956
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Uncertainty in Second Moments: Implications for Portfolio Allocation
Cho, David Daewhan - Econometric Society - 2004
the expected return estimation. Moreover, as the number of assets in the portfolio increases, the loss due to the variance …
Persistent link: https://www.econbiz.de/10005342343
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The Markovian Dynamics of "Smart Money"
Yang, J-H Steffi - Econometric Society - 2004
I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...
Persistent link: https://www.econbiz.de/10005086415
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Optimum Consumption and Portfolio Allocations under Incomplete Information
Roche, Herve - Econometric Society - 2004
We solve in closed form the optimal consumption / portfolio choice problem for the class of isoelastic utility … can update her beliefs more quickly which in turn can lead to larger changes in her optimal consumption and portfolio …
Persistent link: https://www.econbiz.de/10005129785
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Uncertainty in Second Moments: Implications for Portfolio Allocation
Cho, David Daewhan - Econometric Society - 2004
the expected return estimation. Moreover, as the number of assets in the portfolio increases, the loss due to the variance …
Persistent link: https://www.econbiz.de/10005130241
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PORTAFOLIOS ÓPTIMOS PARA LOS NUEVOS SISTEMAS DE PENSIONES DE PAÃSES EMERGENTES
Walker, Eduardo - Econometric Society - 2004
Se estudia asignaciones óptimas de clases de activo (Asset Allocation) para afiliados representativos a las AFP con diferentes plazos para jubilar. Se supone que el afiliado desearía maximizar su pensión esperada al momento de jubilar, dado un nivel de riesgo. Entonces, la pregunta es qué...
Persistent link: https://www.econbiz.de/10005063548
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The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004
, these results give further confirmation that the latter group of markets can serve as good avenues for portfolio …
Persistent link: https://www.econbiz.de/10005063637