Pacific, Europe, USA, and emerging markets with multivariate t copula based on GARCH model, and to measure portfolio risk with value at risk (VaR) and component VaR (CVaR). The 1,454 REIT price index return observations were collected from 1 Dec 2009 to 29 June 2015 and calculated based on a...

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...