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Portfolio choice with house value misperception
Corradin, Stefano; Fillat Comenge, José Luis; … - 2017
make decisions based on their perceived level of housing wealth. Numerical simulations generate the effects of house value …
Persistent link: https://www.econbiz.de/10012059590
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Portfolio Choice with House Value Misperception
Corradin, Stefano - 2018
make decisions based on their perceived level of housing wealth. Numerical simulations generate the effects of house value …
Persistent link: https://www.econbiz.de/10012930592
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Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
Corradin, Stefano - 2012
We generalize the classic Grossman and Laroque (1990) (GL) model of optimal portfolio choice with housing and …) houses when their wealth-to-housing ratios reach an optimal lower (upper) boundary. However, in our model, these boundaries … a more expensive house in periods of high expected growth in house prices have significantly lower ex-ante wealth-to-housing …
Persistent link: https://www.econbiz.de/10013100578
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Nominal Mortgage Contracts and the Effects of Inflation on Portfolio Allocation
Nichols, Joseph - 2008
demonstrates how the share of total wealth held in housing is sensitive to the rate of inflation, even when perfectly anticipated …
Persistent link: https://www.econbiz.de/10014216526
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Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends
Chae, Jiwon; Jang, Bong-Gyu; Kim, Taeyoon - 2022
We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor's optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while pro-cyclical dividends...
Persistent link: https://www.econbiz.de/10014244841
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Contingent claims analysis and life-cycle finance
Bodie, Zvi; Ruffino, Doriana; Treussard, Jonathan - 2008 - Rev.
This paper explores the application of contingent claims analysis (CCA) to two quot;hotquot; issues in life-cycle finance: (1) investing for retirement and (2) deciding when, if ever, to switch careers. Participants in individual retirement accounts do not have the time or the knowledge to make...
Persistent link: https://www.econbiz.de/10003888707
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Event Risks, Illiquidity, and Portfolio Selection
Liu, Hong - 2009
The most recent financial crisis highlights the importance of event risks and the ensuing market illiquidity and worsening investment opportunity set for optimal portfolio selection. However, the existing portfolio selection literature does not consider the joint impact of these risks. In this...
Persistent link: https://www.econbiz.de/10013153116
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Leverage management in a bull–bear switching market
Dai, Min; Wang, Hefei; Yang, Zhou - In: Journal of Economic Dynamics and Control 36 (2012) 10, pp. 1585-1599
Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time...
Persistent link: https://www.econbiz.de/10011051988
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Delivering left-skewed portfolio payoff distributions in the presence of transaction costs
Krawczyk, Jacek B. - In: Risks : open access journal 3 (2015) 3, pp. 318-337
For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs...
Persistent link: https://www.econbiz.de/10011402594
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Hedge or rebalance : optimal risk management with transaction costs
Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon - 2018 - This version: July 4, 2018
We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In...
Persistent link: https://www.econbiz.de/10011900340