Similar Search Results

Fisher, Walter H.; Heijdra, Ben J. - 2008

We incorporate Keeping-up-with-the-Joneses (KUJ) preferences into the Blanchard-Yaari (BY) framework and develop, using an AK technology, a model of balanced growth. In this context we investigate status preference, demographic, and pension policy shocks. We find that a higher degree of KUJ...

Persistent link: https://www.econbiz.de/10009735354

Conspicuous consumption, economic growth, and taxation : a generalization

Fisher, Walter H.; Hof, Franz X. - 1999

This paper studies the influence of consumption externalities in the Ramsey model. In contrast to the recent literature, a quite general specification of preferences is used and the concept of the effective intertemporal elasticity of substitution is introduced. We give conditions for the...

Persistent link: https://www.econbiz.de/10009712935

Relative consumption and endogenous labour supply in the Ramsey model : do status-conscious people work too much?

Fisher, Walter H.; Hof, Franz X. - 2000

This paper introduces consumption externalities into a Ramsey-type model with endogenous labour supply and homogeneous agents. The instantaneous utility of any consumer is assumed to depend on work effort, own consumption and relative consumption, where the latter determines the individual's...

Persistent link: https://www.econbiz.de/10009723879

Sensitivity of optimal consumption streams

Herdegen, Martin; Muhle-Karbe, Johannes - 2015

We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. At the leading order, the consumption adjustment does not matter: any choice that matches the budget constraint simply shifts the original utility by the marginal value of the...

Persistent link: https://www.econbiz.de/10011412135

Keeping up with the ageing Joneses

Fisher, Walter H.; Heijdra, Ben J. - 2007

In this paper we consider the implications of relative consumption externalities in the Blanchard-Yaari overlapping generations framework. Unlike most of the macroeconomic literature that studies this question, the differences between agents, and, thus, in their relative position, persist in...

Persistent link: https://www.econbiz.de/10009736642

Housing and its role in the household portfolio in Colombia

Serrano, Camilo; Hoesli, Martin - 2009

indicate that households allocate most of their wealth to housing. Our results suggest that actual allocations are suboptimal … and that significant gains can be obtained with a higher degree of diversification. In particular, we find that housing … plays a positive role in efficient portfolio allocation when the housing to net wealth ratio is less than 1.5, but when the …

Persistent link: https://www.econbiz.de/10003968758

Portfolio choice with loss aversion, asymmetric risk-taking behavior and segregation of riskless opportunities

Vlcek, Martin (contributor) - 2006

In this paper we present a two period model, where the agent's preferences are described by prospect theory as proposed by Kahneman and Tversky. We solve for the agent's portfolio decision. Our findings are that the changes in portfolio weights depend crucially on the reference point and the...

Persistent link: https://www.econbiz.de/10003394349

Cross-Selling in Bank Household Relationships. Implications for Deposit Pricing, Loan Pricing, and Monetary Policy

Basten, Christoph; Juelsrud, Ragnar Enger - 2022

Using administrative data on deposits and loans of every Norwegian with every Norwegian bank, we show that an existing deposit account makes a household more likely to hold deposits at the same bank later despite better alternatives and more likely to borrow there. Consistent with this, banks...

Persistent link: https://www.econbiz.de/10013492246

Survival and evolutionary stability of the Kelly rule

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009

This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...

Persistent link: https://www.econbiz.de/10003971097

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

1
2
3
4
5
6
7
8
Next
Last