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Endogenous Life-Cycle Housing Investment and Portfolio Allocation

Tunc, Cengiz; Pelletier, Denis - Türkiye Cumhuriyet Merkez Bankası - 2013

This paper develops a life-cycle portfolio allocation model to address the effects of housing investment on the … portfolio allocation of households. The model employs a comprehensive housing investment structure, Epstein-Zin recursive … risk aversion and elasticity of intertemporal substitution. The model shows that housing investment has a strong crowding …

Persistent link: https://www.econbiz.de/10010941508

Homeownership as a Constraint on Asset Allocation

Cauley, Stephen; Pavlov, Andrey - Econometric Society - 2004

While home ownershipt provides a great deal of personal and social benefits, it poses a substantial constraint on individuals' asset allocation.

Persistent link: https://www.econbiz.de/10005328930

What Weight Should be Given to Asset Prices in the Measurementof Inflation?

Goodhart, C. - de Nederlandsche Bank - 2001

practical case, that some asset prices, notably housing, are closely associated with the main trends in inflation, and via … measured relationships or from final expenditures. Either way, the statistical treatment of housing is crucial, and is being …

Persistent link: https://www.econbiz.de/10005030257

Household Leverage and the Recession

Midrigan, Virgiliu; Philippon, Thomas - C.E.P.R. Discussion Papers - 2011

A salient feature of the recent U.S. recession is that output and employment have declined more in regions (states, counties) where household leverage had increased more during the credit boom. This pattern is difficult to explain with standard models of financing frictions. We propose a theory...

Persistent link: https://www.econbiz.de/10009024926

The downside risk of heavy tails induces low diversification

Hyung, Namwon; Vries, Casper G. de - 2010

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

Persistent link: https://www.econbiz.de/10011381335

Portfolio diversification effects of downside risk

Hyung, Namwon; Vries, Casper G. de - 2004 - Rev.

Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat-tailed distributed returns. The downside risk of a...

Persistent link: https://www.econbiz.de/10011343318

Contingent reserves management : an applied framework

Caballero, Ricardo J. (contributor); … - 2005 - This version: September 2004

One of the most serious problems that a central bank in an emerging market economy can face is the sudden reversal of capital inflows. Hoarding international reserves can be used to smooth the impact of such reversals, but these reserves are seldom sufficient and always expensive to hold. In...

Persistent link: https://www.econbiz.de/10003230146

The 'Dogs of the Dow' Strategy Revisited : Finnish Evidence

Rinne, Eemeli - 2011

This paper re-examines the performance of the "Dogs of the Dow" (DoD) investment strategy in a different market setting and over a different time period. In particular, we use Finnish data over the period 1988-2008 to examine whether the DoD strategy can be successfully replicated in different...

Persistent link: https://www.econbiz.de/10013131463

The Downside Risk of Heavy Tails Induces Low Diversification

Hyung, Namwon - 2010

Persistent link: https://www.econbiz.de/10013138700

Uses and Misuses of the Black-Litterman Model in Portfolio Construction

Chincarini, Ludwig B. - 2013

The Black-Litterman model has gained popularity in applications in the area of quantitative equity portfolio management. Unfortunately, many recent applications of the Black-Litterman to novel aspects of quantitative portfolio management have neglected the rigor of the original Black-Litterman...

Persistent link: https://www.econbiz.de/10013089345

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