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Intertemporal Preference with Loss Aversion : Aggregate Consumption and Asset Management

Choi, Kyoung Jin - 2020

We investigate the dynamic consumption and portfolio selection problem of an agent who has an intertemporal preference with loss and risk aversion, as proposed by Choi et al. (2019a). We disentangle the effects of loss aversion from those of risk aversion on risk taking. We show by simulation...

Persistent link: https://www.econbiz.de/10012849120

Foregone Consumption and Return-Chasing Investments

Agarwal, Sumit - 2020

We show individuals investments chase stock index returns and are financed by foregoing consumption, even after controlling for individual-account level portfolio income effects and other high dimensional fixed effects. This effect only exists for positive stock index returns with no effects for...

Persistent link: https://www.econbiz.de/10012848414

Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints

Yuan, Haili; Hu, Yijun - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 405-409

Persistent link: https://www.econbiz.de/10009517553

Wealthy hand‐to‐mouth households in China

Cui, Zhen; Feng, Yalan - In: Asian economic journal : journal of the East Asian … 31 (2017) 3, pp. 275-297

Persistent link: https://www.econbiz.de/10011808635

Intergenerational sharing of unhedgeable inflation risk

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Persistent link: https://www.econbiz.de/10013460026

Chapter 11 The distribution of wealth

Davies, James B.; Shorrocks, Anthony F. - In: Handbook of income distribution : volume 1, (pp. 605-675). 2000

This chapter is concerned with the distribution of personal wealth, which usually refers to the material assets that … on wealth distribution for a number of countries. This confirms the well known fact that wealth is more unequally … distributed than income, and points to a long term downward trend in wealth inequality over most of the twentieth century. We also …

Persistent link: https://www.econbiz.de/10014024198

Retirement flexibility and portfolio choice in general equilibrium

Adema, Yvonne; Bonenkamp, Jan; Meijdam, Lex - 2011 - This version: February 4, 2011

This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping-generations model of a closed economy. Retirement flexibility is often seen as a hedge against capital market risks which justifies more risky asset portfolios. We show, however, that this...

Persistent link: https://www.econbiz.de/10011383196

Optimal Consumption and Investment with Independent Stochastic Labor Income

Bensoussan, Alain; Park, Seyoung - 2023

explicitly characterize the optimal consumption and investment strategy as a function of income-to-wealth ratio. We provide some …

Persistent link: https://www.econbiz.de/10014253923

Retirement Flexibility and Portfolio Choice

Adema, Yvonne - 2011

This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping - generations model. We analyze this interaction both in a partial - equilibrium and general - equilibrium setting. Retirement flexibility is often seen as a hedge against capital - market...

Persistent link: https://www.econbiz.de/10013122372

Retirement Flexibility and Portfolio Choice

Adema, Yvonne - 2011

This paper explores the interaction between retirement flexibility and portfolio choice in an overlapping-generations model. We analyse this interaction both in a partial-equilibrium and general-equilibrium setting. Retirement exibility is often seen as a hedge against capital-market risks which...

Persistent link: https://www.econbiz.de/10013122515