Reference : Analytical Guidance for Fitting Parsimonious Household-Portfolio Models to Data
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Business & economic sciences : Finance
http://hdl.handle.net/10993/12222
Analytical Guidance for Fitting Parsimonious Household-Portfolio Models to Data
English
Hubar, Sylwia [> >]
Koulovatianos, Christos mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Li, Jian [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
2013
CREA
No
[en] Epstein-Zin-Weil recursive preferences; subsistence consumption; household-portfolio shares; business equity; wealth inequality;
[en] 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.
http://hdl.handle.net/10993/12222
http://wwwfr.uni.lu/content/download/63591/803807/file/2013-16%20-%20Analytical%20Guidance%20for%20Fitting%20Parsimonious%20Household-Portfolio%20Models%20to%20Data.pdf
http://wwwfr.uni.lu/content/download/63591/803807/file/2013-16%20-%20Analytical%20Guidance%20for%20Fitting%20Parsimonious%20Household-Portfolio%20Models%20to%20Data.pdf

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