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effect of these developments on investors' savings and asset returns. In our model, investors with possibly heterogeneous … beliefs choose their savings portfolios. Under mild assumptions, we establish a choice channel by which greater portfolio … early 1980s, and is in contrast with the "precautionary savings" literature that would make the opposite prediction. Greater …
Persistent link: https://www.econbiz.de/10012456983
more, generating realistic dynamics. In the consumption-savings model, the consumer decides to pay little or no attention …
Persistent link: https://www.econbiz.de/10012456824
We view sustainability as a requirement that welfare should not be expected to decline over time. We impose this … requirement as a prior constraint on the consumption-savings-investment problem, and study its implications for saving, risky …
Persistent link: https://www.econbiz.de/10012585383
We apply numerical dynamic programming to multi-asset dynamic portfolio optimization problems with proportional transaction costs. Examples include problems with one safe asset plus two to six risky stocks, and seven to 360 trading periods in a finite horizon problem. These examples show that it...
Persistent link: https://www.econbiz.de/10012459952
Investment taxes have a substantial impact on the performance of taxable mutual fund investors. Mutual funds can reduce the tax burdens of their shareholders by avoiding securities that are heavily taxed and by avoiding realizing capital gains that trigger higher tax burdens to the funds'...
Persistent link: https://www.econbiz.de/10012457607
A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...
Persistent link: https://www.econbiz.de/10012474226
Optimal portfolios differ according to the length of time they are held without being rebalanced. For the case in which asset returns are identically and independently distributed, it has been shown that optimal portfolios become less diversified as the holding period lengthens.We show that the...
Persistent link: https://www.econbiz.de/10012477455
In the finance literature, a common practice is to create factor-portfolios by sorting on characteristics (such as book-to-market, profitability or investment) associated with average returns. The goal of this exercise is to create a parsimonious set of factor-portfolios that explain the...
Persistent link: https://www.econbiz.de/10012453549
The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion produced an economic crisis for the rest of the economy via high unemployment and...
Persistent link: https://www.econbiz.de/10012461524
We investigate optimal consumption, asset accumulation and portfolio decisions in a realistically calibrated life-cycle model with flexible labor supply. Our framework allows for wage rate uncertainly, variable labor supply, social security benefits and portfolio choice over safe bonds and risky...
Persistent link: https://www.econbiz.de/10012464683