References of "Hubar, Sylwia"
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See detailFitting Parsimonious Household Portfolio models to Data
Hubar, Sylwia; Koulovatianos, Christos UL; Li, Jian UL

Presentation (2014, September 30)

Detailed reference viewed: 90 (14 UL)
See detailFitting Parsimonious Household Portfolio models to Data
hubar, Sylwia; Koulovatianos, Christos UL; Li, Jian UL

Presentation (2014)

Detailed reference viewed: 105 (16 UL)
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See detailAnalytical Guidance for Fitting Parsimonious Household-Portfolio Models to Data
Hubar, Sylwia; Koulovatianos, Christos UL; Li, Jian UL

E-print/Working paper (2013)

Saving rates and household investment in stocks and business equity are all increasing in income and wealth. Introducing subsistence consumption to a common-across-households Epstein-Zin-Weil utility ... [more ▼]

Saving rates and household investment in stocks and business equity are all increasing in income and wealth. Introducing subsistence consumption to a common-across-households Epstein-Zin-Weil utility function is up to a quantitative explanation, in the context of stan- dardized parsimonious household-portfolio models with risky income. Closed forms in a sim- plified version of the model, with insurable labor-income risk and no liquidity constraints, reveal that if, (i) risky-asset returns are weakly correlated and, (ii) household resources are expected to grow over time, then poorer households can afford exiting subsistence concerns slowly by saving less and by taking less risk, while holding balanced portfolios. [less ▲]

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See detailSaving Rates and Portfolio Choice with Subsistence Consumption
Koulovatianos, Christos UL; Achury, Carolina; Hubar, Sylwia

in Review of Economic Dynamics (2012), 105(1), 108-126

We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of ... [more ▼]

We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively and quantitatively explaining: (i) the higher saving rates of the rich, (ii) the higher fraction of personal wealth held in risky assets by the rich, and (iii) the higher volatility of consumption of the wealthier. On the contrary, time-variant "keeping-up-with-the-Joneses" weighted average consumption which plays the role of moving benchmark subsistence consumption gives the same portfolio composition and saving rates across the rich and the poor, failing to reconcile the model with what micro data say. [less ▲]

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