Showing 1 - 10 of 63
an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …
Persistent link: https://www.econbiz.de/10012387918
stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness and can negatively …
Persistent link: https://www.econbiz.de/10010252053
stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality … risk has only minor effects on the optimal controls early in the life cycle but it becomes crucial in later years. A …
Persistent link: https://www.econbiz.de/10010252060
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk …
Persistent link: https://www.econbiz.de/10010250168
of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10011598385
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …
Persistent link: https://www.econbiz.de/10010359861
manager's taxable wealth is publicly available. Consistent with the model, portfolio company risk decreases and leverage …
Persistent link: https://www.econbiz.de/10011436066
evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …
Persistent link: https://www.econbiz.de/10011893131
This paper studies a household's optimal demand for a reverse mortgage. These contracts allow homeowners to tap their home equity to finance consumption needs. In stylized frameworks, we show that the decision to enter a reverse mortgage is mainly driven by the dierential between the aggregate...
Persistent link: https://www.econbiz.de/10012303151
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who … are below 1.16% if the jump size is stochastic and below 1% if the jump size is constant and ... 5. We perform robustness … checks for various levels of risk-aversion, expected jump size, and jump intensity. …
Persistent link: https://www.econbiz.de/10010225880