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Occupation-level income shocks and asset returns : their covariance and implications for portfolio choice

Davis, Steven J.; Willen, Paul - 2013 - This version: August 2002, last compiled October 24, 2013

so are selected industry-level equity portfolios. An application of the theory to the empirical results shows (a) large …

Persistent link: https://www.econbiz.de/10010199033

Robust Portfolio Choice With Sticky Wages

Biagini, Sara; Gozzi, Fausto; Zanella, Margherita - 2021

We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi and Dybvig and Liu. In particular, in the influence of past wages on the future ones is modelled linearly in the evolution equation of...

Persistent link: https://www.econbiz.de/10013229743

Human Capital and Household Portfolio Choice : The Importance of the Persistence of Labor Income Shocks

Shim, Kyung Hwan - 2015

Using longitudinal data from PSID, we show the positive relation between labor income and the equity share of financial wealth is stronger for those who have a higher persistence in shocks to permanent labor income. The results support the hypothesis that the cross sectional variation in...

Persistent link: https://www.econbiz.de/10013024082

Optimal Portfolio Choice With Path-Dependent Labor Income : Finite Retirement Time

Biffis, Enrico; Cappa, Gianluca; Gozzi, Fausto; … - 2021

This paper extends the project initiated in and studies a lifecycle portfolio choice problem with borrowing constraints and finite retirement time in which an agent receives labor income that adjusts to financial market shocks in a path dependent way. The novelty here, with respect to, is the...

Persistent link: https://www.econbiz.de/10013243293

Trade Unions, Employee Share Ownership and Wage Setting : A Supply-Side Approach to the Share Economy

Renstrom, Thomas I.; Roszbach, Kasper - 1998

Employee share ownership is growing increasingly important. This paper studies employee share ownership in an economy with one monopoly union for each firm. We modify an implicit contract model by adding dividend income to the usual wage income. Union members differ in exogenous stock endowments...

Persistent link: https://www.econbiz.de/10014117162

Implications of financial transaction costs on the real economy : a note

Pelster, Matthias - In: Contemporary economics 8 (2014) 1, pp. 113-118

This note studies the influence of a financial transaction tax and transaction costs on the optimal production and hedging strategies of a duopoly. Firms are exposed to demand uncertainty that leads to price risk and can hedge their risk exposure on a forward market. However, the forward...

Persistent link: https://www.econbiz.de/10010405210

Asset prices and liquidity with market power and non-Gaussian payoffs

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2020

We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...

Persistent link: https://www.econbiz.de/10012419350

Implied Equity Duration : A Measure of Pandemic Shutdown Risk

Dechow, Patricia - 2020

Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short-term...

Persistent link: https://www.econbiz.de/10012831673

Asset Owners, Investment Management, and Commitment : An Organizational Framework

Clark, Gordon L. - 2019

This paper focuses upon asset owners, such as pension funds, and their models of investment management, recognizing the choice between insourcing, outsourcing and re-intermediation. Drawing upon the principal-agent problem, the dimensions of the management ‘problem' are identified emphasizing...

Persistent link: https://www.econbiz.de/10012898285

Portfolio Primacy and Climate Change

Tallarita, Roberto - 2021

carbon emissions and therefore produce more emissions than is socially desirable. However, according to a theory that is … theory, by maximizing the value of their entire portfolio (portfolio primacy) rather than the value of the individual company … offers the first systematic critique of this theory. First, it demonstrates that the composition of investment portfolios can …

Persistent link: https://www.econbiz.de/10013214192