Bremus, Franziska M.; Kuzin, Vladimir N. - 2010
Cocco, Gomes and Maenhout (2005). We extend it by unemployment risk using Markov chains to model the transition between … states, namely employment, short-term as well as long-term unemployment. This allows us to examine the effects of persistence … in the unemployment process on portfolio choice. Our main findings are, first, that in case of short-term unemployment …