Chang, Yongsung; Hong, JaeHwa; Karabarbounis, Marios; … - 2020
portfolios around structural breaks in income volatility. When the standard deviation of labor-income growth doubles, the share … standard model of portfolio choice with idiosyncratic volatility shocks. The standard model generates a much more aggressive … portfolio response than we see in the data. We show that Bayesian learning about the underlying volatility regime can reconcile …