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Essays In Consumption And Portfolio Choice
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Book Synopsis Essays in Consumption and Portfolio Choice by : Jorge Federico Rodriguez
Download or read book Essays in Consumption and Portfolio Choice written by Jorge Federico Rodriguez and published by . This book was released on 2003 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) I solve analytically the consumption and portfolio choice problem for an investor learning about the current value of time-varying expected returns. When prices are the only observables, the investor optimally estimates the current expected returns using the realized returns. Because of this, the market is observationally complete for an imperfectly informed investor. The observational completeness of the market allows me to find analytical, closed-form solutions to the investor's consumption and portfolio choice problem. I show how learning affects both the covariance and the consumption smoothing component of the hedging portfolio. Applying the model to monthly return data, I show a significant reduction in hedging demands due to imperfect information. In contrast to portfolio choice assuming expected returns are observed, in some cases the reduction implies the agent will optimally hold a negative hedging portfolio. I solve in closed-form for the model implied R2 for the return forecast regression, in other words the predictable fraction of return variance, and discuss the relationship between the reduction in hedging demands and the reduction in the model implied R2 for the return forecast regression. Little work has been done in regards to the role of labor income when investment opportunities are stochastic. Chapter 3 considers the consumption and portfolio choice problem of an investor when interest rates are time-varying and labor income growth might be sensitive to changes in interest rates. We obtain closed-form solutions to the consumption and portfolio choice for an investor with both inelastic and elastic labor supply ...
Book Synopsis Essays in Optimal Consumption and Portfolio Choice by : Jialun Li
Download or read book Essays in Optimal Consumption and Portfolio Choice written by Jialun Li and published by . This book was released on 2012 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis ESSAYS ON PORTFOLIO CHOICE AND HEALTH OVER THE LIFE CYCLE by : You Du
Download or read book ESSAYS ON PORTFOLIO CHOICE AND HEALTH OVER THE LIFE CYCLE written by You Du and published by . This book was released on 2021 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the effect of health and its associated variables on households' consumption and portfolio choices over life cycle. The first two essays constitute my job market paper, which explains why the risky portfolio share rises in wealth from two health mechanisms: endogenous health investment and medical expenditure risk. The third chapter explores the effect of health and health risk on households' optimal consumption and portfolio decisions over life cycle. Chapter 1 titled ``PORTFOLIO CHOICE AND HEALTH ACROSS WEALTH: EMPIRICAL EVIDENCE" illustrates the empirical relationship between the portfolio puzzle and the heterogeneity of health variables across wealth. Classic financial theory suggests that under the assumption of no borrowing constraints and no mean-reverting stock returns, households should hold a constant risky portfolio in spite of their wealth, ages and life horizons (Samuelson (1969) and Merton (1969, 1971)). Yet data from the Survey of Consumers Finances (SCF) show that the risky portfolio share of financial assets increases in wealth. In the literature, this is called the ``portfolio puzzle". Meanwhile, various sources of data indicate that, compared with the non-wealthy households, the wealthy people have better health, longer life horizon, higher out of pocket medical spending with lower uncertainty, and more health care time. All these facts suggest a novel correlation between the portfolio puzzle and the heterogeneity of health variables across wealth and provide a robust empirical foundation to explain the portfolio puzzle from a health perspective. In Chapter 2 titled ``A LIFE CYCLE MODEL OF PORTFOLIO CHOICE AND HEALTH", a life cycle model with endogenous health investment and medical expenditure risk is proposed to capture the key empirical features in the first chapter. This calibrated model remarkably matches the U.S. data. I find that endogenous health investment is essential to explain the portfolio puzzle: if health is exogenous without investment, the model can only could deliver 7.2% of the risky share gap across wealth. Medical expenditure risk is less important and has a larger effect on the non-wealthy group. If I abstract from medical expenditure risk, the risky shares increase for both groups: 24% for the low wealth group and 5% for the wealthy group. This life cycle model provides new insights into how health affects households' financial behavior. Chapter 3 titled ``OPTIMAL CONSUMPTION AND PORTFOLIO CHOICE WITH HEALTH RISK" investigates the effect of health and health risk on households' optimal consumption and portfolio allocations over the life cycle. The simulation results show that consumption, savings in bonds, and savings in stocks all increase with health. The risky portfolio share, which is the ratio of savings in stocks to the total financial assets, demonstrates the same tendency for both health states over the life cycle: at the very young age, the risky portfolio share is relatively high. Starting from the middle age, this share falls significantly and keeps steady until the end of life. For most of the lifetime, the risky portfolio share is positively related with health. These results emphasize the importance of health and its associated risk in consumption and portfolio decisions.
Book Synopsis Three Essays on Consumption and Portfolio Choice in the Presence of Market Frictions by : Hyeng Keun Koo
Download or read book Three Essays on Consumption and Portfolio Choice in the Presence of Market Frictions written by Hyeng Keun Koo and published by . This book was released on 1992 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Intertemporal Consumption and Portfolio Choice by :
Download or read book Essays on Intertemporal Consumption and Portfolio Choice written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Expectations-Based Reference-Dependent Consumption and Portfolio Choice by : Michaela Friederike Annabelle Pagel
Download or read book Essays on Expectations-Based Reference-Dependent Consumption and Portfolio Choice written by Michaela Friederike Annabelle Pagel and published by . This book was released on 2014 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Consumption, Portfolio Choice and Retirement Accounts by : Pu Li
Download or read book Three Essays on Consumption, Portfolio Choice and Retirement Accounts written by Pu Li and published by . This book was released on 2014 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Consumption, Insurance, and Portfolio Choice Over the Life Cycle by : Lorenz S. Schendel
Download or read book Essays on Consumption, Insurance, and Portfolio Choice Over the Life Cycle written by Lorenz S. Schendel and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Consumption-portfolio Choice with Habits by : Sebastian Wagner
Download or read book Essays on Consumption-portfolio Choice with Habits written by Sebastian Wagner and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance by : Ehud Peleg
Download or read book Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Uncertainty, Consumption-portfolio Choice, and Labor Search by : 樊华
Download or read book Essays on Uncertainty, Consumption-portfolio Choice, and Labor Search written by 樊华 and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Empirical Asset Pricing and Consumption-portfolio Choice by : Farina Weiss
Download or read book Essays in Empirical Asset Pricing and Consumption-portfolio Choice written by Farina Weiss and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Asset Pricing and Portfolio Choice by : Philipp Karl Illeditsch
Download or read book Essays in Asset Pricing and Portfolio Choice written by Philipp Karl Illeditsch and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Ơ̐1rst essay, I decompose inƠ̐2ation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor0́9s preferences and investment opportunities and (ii) a residual part. I show that only the Ơ̐1rst part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inƠ̐2ation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inƠ̐2ation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of Ơ̐1nite lived, constant relative risk averse investors who face inƠ̐2ation risk and can invest in cash, nominal bonds, equity, and inƠ̐2ation-protected bonds when the investment opportunityset is determined by the expected inƠ̐2ation rate. I estimate the model with nominal bond, inƠ̐2ation, and stock market data and show that if expected inƠ̐2ation increases, then investors should substitute inƠ̐2ation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences aƠ̐0ects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inƠ̐2ation are exogenously speciƠ̐1ed and contain stochastic components thataƠ̐0ect their means andvolatilities. There are two classes of investors who have external habit forming preferences and diƠ̐0erent localcurvatures oftheir utility functions. The eƠ̐0ects of time varying risk aversion and diƠ̐0erent inƠ̐2ation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inƠ̐2ation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.
Book Synopsis Publ ... 7. Reihe. Urkundenbuch des Burgenlandes by :
Download or read book Publ ... 7. Reihe. Urkundenbuch des Burgenlandes written by and published by . This book was released on 1965 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Finance and Macroeconomics by : Stavros Panageas
Download or read book Three Essays in Finance and Macroeconomics written by Stavros Panageas and published by . This book was released on 2005 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter I investigate whether firms' physical investments react to the speculative over-pricing of their securities. I introduce investment considerations in an infinite horizon continuous time model with short sale constraints and heterogeneous beliefs along the lines of Scheinkman and Xiong (2003) and obtain closed form solutions for all quantities involved. I show that market based q and investment are increased, even though such investment is not warranted on the basis of long run value maximization. I use a simple episode to test the hypothesis that investment reacts to over-pricing. With publicly available data on short sales during the 1920's, I examine both the price reaction and the investment behavior of a number of companies that were introduced into the "loan crowd" during the first half of 1926. In line with Jones and Lamont (2002), I interpret this as evidence of overpricing due to speculation. I find that investment by these companies follows both the increase and the decline in "q" before and after the introduction, suggesting that companies in this sample reacted to security over-pricing. In the next chapter of the thesis (co-authored with E. Farhi) we study optimal consumption and portfolio choice in a framework where investors save for early retirement. We assume that agents can adjust their labor supply only through an irreversible choice of their retirement time. We obtain closed form solutions and analyze the joint behavior of retirement time, portfolio choice, and consumption. In the final chapter of the thesis (co-authored with R. Caballero) we turn attention to hedging of sudden stops. We observe that even well managed emerging market economies are exposed to significant external risk, the bulk of which is financial. We focus on the optimal financial policy of such an economy under different imperfections and degrees of crowding out in its hedging opportunities.
Book Synopsis Four essays in the theory of uncertainty and portfolio choice by : Jonathan Eaton
Download or read book Four essays in the theory of uncertainty and portfolio choice written by Jonathan Eaton and published by . This book was released on 1976 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Consumption and Portfolio Choice with Borrowing Constraints by : Jean-Luc Vila
Download or read book Optimal Consumption and Portfolio Choice with Borrowing Constraints written by Jean-Luc Vila and published by . This book was released on 1994 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
