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Portfolio Allocation, Income Uncertainty and Households' Flight from Risk
Brown, Sarah - 2016
households reduce their financial risk exposure when confronted with background risk. Our novel modelling approach – termed a … risk, and is unique in recovering for, any given risky asset class, the shares that are reallocated to a safer asset … category. Background risk exerts a significant impact on household portfolios, resulting in a 'flight from risk', away from …
Persistent link: https://www.econbiz.de/10012977335
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Portfolio Allocation in the Face of a Means-Tested Public Pension
Cobb-Clark, Deborah A. - 2011
Is there evidence that households adjust their asset portfolios just prior to retirement in response to a means-tested public pension? We address this question by estimating a system of asset equations constrained to add up to net worth. We find little evidence that in 2006 healthy households or...
Persistent link: https://www.econbiz.de/10013134282
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Trust and the Choice between Housing and Financial Assets : Evidence from Spanish Households
El-Attar, Mayssun - 2010
Trusting behavior has been shown to affect households' portfolio choice between risky and risk-free financial assets …
Persistent link: https://www.econbiz.de/10013136779
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Debt Portfolios
Hintermaier, Thomas - 2011
We provide a model with endogenous portfolios of secured and unsecured household debt. Secured debt is collateralized by owner-occupied housing whereas unsecured debt can be discharged according to bankruptcy regulations. We show that the calibrated model matches important quantitative...
Persistent link: https://www.econbiz.de/10013126139
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Household Portfolio Choice, Reference Dependence, and the Marriage Market
Li, Wenchao - 2017
This paper bridges the financial market and the marriage market using a reference-dependent mechanism. Male-biased sex ratios induce families with sons to hold more risky assets, since competitive marital payment in a tight market raises the reference level of marriage expenditure for such...
Persistent link: https://www.econbiz.de/10012963843
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Decomposing Excess Returns in Stochastic Linear Models
Lin, Carl - 2012
We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...
Persistent link: https://www.econbiz.de/10013113072
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The Determinants of China's International Portfolio Equity Allocations
Agarwal, Isha - 2020
We analyze shifts in the structure of China's capital outflows over the past decade. The composition of gross outflows has shifted from accumulation of foreign exchange reserves by the central bank to nonofficial outflows. Unlocking the enormous pool of domestic savings could have a significant...
Persistent link: https://www.econbiz.de/10012840445
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The Economics of Dual Job Holding : A Job Portfolio Model of Labor Supply
Renna, Francesco - 2006
In this paper we develop a job portfolio model of dual job holding based on a Stone-Geary utility function. We derive the associated Slutsky equation components. Because the job portfolio model applies only to unconstrained dual jobholders, we separate individuals who moonlight because of an...
Persistent link: https://www.econbiz.de/10012783284
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Locus of Control and Investment in Risky Assets
Salamanca, Nicolas - 2016
this relation is driven by a link between internal economic locus of control and a lower perception of the risk of …
Persistent link: https://www.econbiz.de/10012977336
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Household Asset Holding Diversification in Australia
Mariotti, Francesco - 2014
We explore asset holding diversification by Australian households, in particular, the household asset diversification participation decision (whether or not to diversify at all) is jointly estimated with the decision of how much to diversify. In so doing, recent literature on the modelling of...
Persistent link: https://www.econbiz.de/10013051019