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Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply
Chai, Jingjing - 2011
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/10013123696
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A Note on the Derivation of Linear Homogeneous Asset Demand Functions
Friedman, Benjamin M. - 2008
more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint … discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield …
Persistent link: https://www.econbiz.de/10012774846
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Bliss Points in Mean-Variance Portfolio Models
Jones, David S - 2010
When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...
Persistent link: https://www.econbiz.de/10012762598
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Symmetry Restrictions in a System of Financial Asset Demands : A Theoretical and Empirical Analysis
Roley, V. Vance - 2010
it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also …
Persistent link: https://www.econbiz.de/10012763139
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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 2010
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...
Persistent link: https://www.econbiz.de/10012763222
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The Effect of Uncertain Labor Income and Social Security on Life-Cycle Portfolios
Maurer, Raimond - 2010
with low income uncertainty; for the high income risk worker, equity exposure rises until retirement. We also evaluate how … annuities, and stocks as well as bonds. Higher labor income uncertainty and lower old-age benefits boost demand for stable … differences in social security benefits can influence retirement risk management …
Persistent link: https://www.econbiz.de/10013148650
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Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection
Horneff, Vanya - 2013
longevity risk, and partially-refundable premiums. Welfare rises since policyholders exercise the product's flexibility by …
Persistent link: https://www.econbiz.de/10013079212