Similar Search Results

Portfolio choice with house value misperception

Corradin, Stefano; Fillat Comenge, José Luis; … - 2017

make decisions based on their perceived level of housing wealth. Numerical simulations generate the effects of house value …

Persistent link: https://www.econbiz.de/10012059590

Portfolio Choice with House Value Misperception

Corradin, Stefano - 2018

make decisions based on their perceived level of housing wealth. Numerical simulations generate the effects of house value …

Persistent link: https://www.econbiz.de/10012930592

Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs

Corradin, Stefano - 2012

We generalize the classic Grossman and Laroque (1990) (GL) model of optimal portfolio choice with housing and …) houses when their wealth-to-housing ratios reach an optimal lower (upper) boundary. However, in our model, these boundaries … a more expensive house in periods of high expected growth in house prices have significantly lower ex-ante wealth-to-housing …

Persistent link: https://www.econbiz.de/10013100578

How Global is Your Mutual Fund? International Diversification from Multinationals

Demirci, Irem - 2020

We show that mutual funds worldwide provide substantial international exposure through their domestic holdings of multinationals. An average domestic fund's international exposure increases by 32 percentage points when we consider international corporate diversification. We find that funds with...

Persistent link: https://www.econbiz.de/10012850014

Choosing what to pay attention to

Fulton, Chad - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 153-184

This paper studies static rational inattention problems with multiple actions and multiple shocks. We solve for the optimal signals chosen by agents and provide tools to interpret information processing. By relaxing restrictive assumptions previously used to gain tractability, we allow agents...

Persistent link: https://www.econbiz.de/10012806924

Nominal Mortgage Contracts and the Effects of Inflation on Portfolio Allocation

Nichols, Joseph B. - 2008

demonstrates how the share of total wealth held in housing is sensitive to the rate of inflation, even when perfectly anticipated …

Persistent link: https://www.econbiz.de/10014216526

Contingent claims analysis and life-cycle finance

Bodie, Zvi; Ruffino, Doriana; Treussard, Jonathan - 2008 - Rev.

This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...

Persistent link: https://www.econbiz.de/10003888707

Event Risks, Illiquidity, and Portfolio Selection

Liu, Hong - 2009

The most recent financial crisis highlights the importance of event risks and the ensuing market illiquidity and worsening investment opportunity set for optimal portfolio selection. However, the existing portfolio selection literature does not consider the joint impact of these risks. In this...

Persistent link: https://www.econbiz.de/10013153116

Machine Learning and the Implementable Efficient Frontier

Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022

We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...

Persistent link: https://www.econbiz.de/10013492674

Delivering left-skewed portfolio payoff distributions in the presence of transaction costs

Krawczyk, Jacek B. - In: Risks : open access journal 3 (2015) 3, pp. 318-337

For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...

Persistent link: https://www.econbiz.de/10011402594