Arbeitspapier
Portfolio choice over the life-cycle when the stock and labor markets are cointegrated
We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes stock-like. However, for older agents with shorter times-to-retirement, cointegration does not have sufficient time to act, and thus their human capital becomes more bond-like. Together, these effects create hump-shaped life-cycle portfolio holdings, consistent with empirical observation. These results hold even when asset return predictability is accounted for.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2007-11
- Classification
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Wirtschaft
- Subject
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Anlageverhalten
Portfolio-Management
Lebenszyklus
Lohn
Dividende
Kapitalertrag
Kointegration
- Event
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Geistige Schöpfung
- (who)
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Benzoni, Luca
Dufresne, Pierre Collin
Goldstein, Robert S.
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Chicago
- (where)
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Chicago, IL
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Benzoni, Luca
- Dufresne, Pierre Collin
- Goldstein, Robert S.
- Federal Reserve Bank of Chicago
Time of origin
- 2007
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