A mean-variance benchmark for household portfolios over the life cycle
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DOI: 10.1016/j.jbankfin.2020.105833
Abstract: We embed human capital as an innate, illiquid asset in Markowitz' one-period mean-variance framework. By solving the Markowitz problem for different values of the ratio of human capital to financial wealth, we emulate life-cycle effects… read more here.
Keywords: life; life cycle; variance benchmark; mean variance ... See more keywords