Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
Sign Up to like & getrecommendations! Published in 2019 at "Decisions in Economics and Finance"
DOI: 10.1007/s10203-019-00250-1
Abstract: This paper reconsiders the conditions determining the optimal response of a decision maker in case of stochastic changes in multiplicative risks. In particular, we focus on an optimal portfolio choice where the return of the… read more here.
Keywords: portfolio choice; changes multiplicative; case; multiplicative risks ... See more keywords
Portfolio choice after retirement: Should self-annuitisation strategies hold more equities?
Sign Up to like & getrecommendations! Published in 2020 at "Economic Analysis and Policy"
DOI: 10.1016/j.eap.2020.02.012
Abstract: We compare the performance of alternative investment strategies in the decumulation phase for retirees who self-annuitise. We find that portfolios with constant high exposure to equities, as well as portfolios that increase exposures to equities… read more here.
Keywords: retirement; portfolio choice; portfolio; choice retirement ... See more keywords
Uncertainty and household portfolio choice : Evidence from South Korea
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DOI: 10.1016/j.econlet.2019.03.009
Abstract: Abstract We examine the effect of policy uncertainty on household portfolio choice using the Korea Labor and Income Panel Study (KLIPS). Policy uncertainty significantly reduces the amount of risky assets in a household’s portfolio on… read more here.
Keywords: household portfolio; portfolio choice; uncertainty; policy uncertainty ... See more keywords
Optimal portfolio choice with path dependent benchmarked labor income: A mean field model
Sign Up to like & getrecommendations! Published in 2021 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2021.11.010
Abstract: We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borrowing constraint. In this paper, to… read more here.
Keywords: labor; optimal portfolio; labor income; portfolio choice ... See more keywords
Dynamic portfolio choice without cash
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DOI: 10.1080/14697688.2018.1465580
Abstract: Abstract We consider the dynamic mean–variance portfolio choice without cash under a game theoretic framework. The mean–variance criterion is investigated in the situation where an investor allocates the wealth among risky assets while keeping no… read more here.
Keywords: cash; mean variance; portfolio choice; without cash ... See more keywords
Formative Experiences and Portfolio Choice: Evidence from the Finnish Great Depression
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DOI: 10.1111/jofi.12469
Abstract: Formative experiences are a natural candidate for explaining heterogeneity in portfolio choice. However, identifying their impact is challenging because experiences can correlate with unobservables and they may lead to changes in wealth and other determinants… read more here.
Keywords: formative experiences; depression; portfolio choice; finnish great ... See more keywords
Portfolio Choice Over the Life Cycle: A Survey
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DOI: 10.1146/annurev-financial-012820-113815
Abstract: Life-cycle portfolio choice models capture the role of human capital, housing, borrowing constraints, background risk, and several other crucial ingredients for determining the savings and investme... read more here.
Keywords: life cycle; portfolio choice;