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Market Frictions, Savings Behavior, And Portfolio Choice

Citations

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Cited by:

  1. Valery Polkovnichenko, 2003. "Human Capital and the Private Equity Premium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 831-845, October.
  2. Steven J. Davis & Felix Kubler & Paul Willen, 2006. "Borrowing Costs and the Demand for Equity over the Life Cycle," The Review of Economics and Statistics, MIT Press, vol. 88(2), pages 348-362, May.
  3. Steven J. Davis & Paul Willen, 2013. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03n04), pages 1-53.
  4. Campanale, Claudio & Fugazza, Carolina & Gomes, Francisco, 2015. "Life-cycle portfolio choice with liquid and illiquid financial assets," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 67-83.
  5. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
  6. Luca Benzoni & Pierre Collin‐Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  7. Claudio Campanale, 2011. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
  8. Sanjay Banerjee & Parantap Basu, 2005. "Uninsured Risks, Loan Contracts and the Declining Equity Premium," CDMA Conference Paper Series 0502, Centre for Dynamic Macroeconomic Analysis.
  9. Monica Paiella, 2007. "The Forgone Gains of Incomplete Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1623-1646, 2007 13.
  10. Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2017. "Asset Market Participation and Portfolio Choice over the Life-Cycle," Journal of Finance, American Finance Association, vol. 72(2), pages 705-750, April.
  11. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
  12. Akyol, Ahmet & Athreya, Kartik, 2005. "Risky higher education and subsidies," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 979-1023, June.
  13. Valery Polkovnichenko & Alexander Michaelides & Francisco Gomes, 2007. "Fiscal Policy, Asset Pricing and Economic Activity in a Savers-Spenders Economy," 2007 Meeting Papers 191, Society for Economic Dynamics.
  14. Cardak, Buly A. & Wilkins, Roger, 2009. "The determinants of household risky asset holdings: Australian evidence on background risk and other factors," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 850-860, May.
  15. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2010. "The Effect of Uncertain Labor Income and Social Security on Life-cycle Portfolios," NBER Working Papers 15682, National Bureau of Economic Research, Inc.
  16. Wolfram J. Horneff & Raimond H. Maurer, 2008. "Deferred Annuities and Strategic Asset Allocation," Working Papers wp178, University of Michigan, Michigan Retirement Research Center.
  17. Thomas Hintermaier & Winfried Koeniger, 2016. "Debt Portfolios and Homestead Exemptions," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 103-141, October.
  18. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center.
  19. Zhou, Jie, 2009. "The asset location puzzle: Taxes matter," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 955-969, April.
  20. Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
  21. Wen-Fang Liu, 1998. "Heterogeneous Agent Economies with Knightian Uncertainty," Working Papers 0053, University of Washington, Department of Economics.
  22. Mehlkopf, R.J., 2011. "Risk sharing with the unborn," Other publications TiSEM fe8a8df6-455f-4624-af10-9, Tilburg University, School of Economics and Management.
  23. Hintermaier, Thomas & Steinberger, Thomas, 2005. "Occupational choice and the private equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1765-1783, October.
  24. Shum, Pauline & Faig, Miquel, 2006. "What explains household stock holdings?," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2579-2597, September.
  25. Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez, 2023. "Optimal asset allocation for commodity sovereign wealth funds," Quantitative Finance, Taylor & Francis Journals, vol. 23(3), pages 471-495, March.
  26. Timothy J. Kehoe & David K. Levine, 2000. "Liquidity Constrained vs. Debt Constrained Markets," Levine's Working Paper Archive 14, David K. Levine.
  27. John Y. Campbell & João F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 2001. "Investing Retirement Wealth: A Life-Cycle Model," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 439-482, National Bureau of Economic Research, Inc.
  28. Nicolas Aubert & Thomas Rapp, 2010. "Employee's investment behaviors in a company based savings plan," Finance, Presses universitaires de Grenoble, vol. 31(1), pages 5-32.
  29. Francisco Gomes & Alexander Michaelides, 2005. "Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence," Journal of Finance, American Finance Association, vol. 60(2), pages 869-904, April.
  30. Kartik B. Athreya, 2003. "Unemployment insurance and personal bankruptcy," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 89(Spr), pages 33-53.
  31. Favilukis, Jack, 2013. "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
  32. Filippo Taddei, 2007. "Equity Premium: Interaction of Belief Heterogeneity and Distribution of Wealth?," Carlo Alberto Notebooks 67, Collegio Carlo Alberto.
  33. Bart Dees & Theo Nijman & Arthur Soest, 2023. "Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models," De Economist, Springer, vol. 171(3), pages 267-302, September.
  34. Miquel Faig & Pauline Shum, 2002. "Portfolio Choice in the Presence of Personal Illiquid Projects," Journal of Finance, American Finance Association, vol. 57(1), pages 303-328, February.
  35. Francisco J. Gomes & Laurence J. Kotlikoff & Luis M. Viceira, 2012. "The Excess Burden of Government Indecision," Tax Policy and the Economy, University of Chicago Press, vol. 26(1), pages 125-164.
  36. Hvide, Hans K. & Panos, Georgios A., 2014. "Risk tolerance and entrepreneurship," Journal of Financial Economics, Elsevier, vol. 111(1), pages 200-223.
  37. Gene Amromin, 2008. "Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis," NBER Chapters, in: Tax Policy and the Economy, Volume 22, pages 5-41, National Bureau of Economic Research, Inc.
  38. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, vol. 96(3), pages 433-462, June.
  39. Robert J. Shiller, 2005. "The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation," Cowles Foundation Discussion Papers 1504, Cowles Foundation for Research in Economics, Yale University.
  40. Gene Amromin & Carrie Jankowski & Richard D. Porter, 2007. "Transforming payment choices by doubling fees on the Illinois Tollway," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 31(Q II), pages 22-47.
  41. Chen, Xuanjuan & Sun, Zhenzhen & Yao, Tong & Yu, Tong, 2020. "Does operating risk affect portfolio risk? Evidence from insurers' securities holding," Journal of Corporate Finance, Elsevier, vol. 62(C).
  42. Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung, 2019. "Optimal consumption and investment with insurer default risk," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 44-56.
  43. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
  44. Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing and Life-Cycle Portfolio Choice," NBER Working Papers 12309, National Bureau of Economic Research, Inc.
  45. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
  46. Claudio Campanale, 2008. "Life-Cycle Portfolio Choice: The Role of Heterogeneity and Under-diversification," Working Papers. Serie AD 2008-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  47. Dybvig, Philip H. & Liu, Hong, 2010. "Lifetime consumption and investment: Retirement and constrained borrowing," Journal of Economic Theory, Elsevier, vol. 145(3), pages 885-907, May.
  48. Mann, Katja & Davenport, Margaret, 2016. "Demography, Capital Flows and Asset Allocation over the Life-cycle," VfS Annual Conference 2016 (Augsburg): Demographic Change 145948, Verein für Socialpolitik / German Economic Association.
  49. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  50. Campanale, Claudio, 2009. "Life-cycle portfolio choice: The role of heterogeneous under-diversification," Journal of Economic Dynamics and Control, Elsevier, vol. 33(9), pages 1682-1698, September.
  51. Aras, Atilla, 2020. "Solution to the Equity Premium Puzzle Using the Sufficiency Factor of the Model," OSF Preprints b9afj, Center for Open Science.
  52. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  53. Dejanir Silva & Robert Townsend, 2018. "Risk-taking over the Life Cycle: Aggregate and Distributive Implications of Entrepreneurial Risk," 2018 Meeting Papers 1318, Society for Economic Dynamics.
  54. Banerji, Sanjay & Basu, Parantap, 2015. "Borrower's moral hazard, risk premium, and welfare: A comparison of universal and stand-alone banking systems," The Journal of Economic Asymmetries, Elsevier, vol. 12(1), pages 61-72.
  55. Michael Bleaney & Paul Mizen & Veronica Veleanu, 2012. "Bond Spreads as Predictors of Economic Activity in Eight European Economies," Discussion Papers 12/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  56. Costanza Torricelli, 2009. "Models For Household Portfolios And Life-Cycle Allocations In The Presence Of Labour Income And Longevity Risk," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0017, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  57. Amadeu DaSilva & Mira Farka, 2017. "Retracted: Portfolio Allocation and Asset Returns in an OLG Economy with Increasing Risk Aversion," European Financial Management, European Financial Management Association, vol. 23(4), pages 836-836, September.
  58. Mondher Bellalah & Yaosheng Xu & Detao Zhang, 2019. "Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales," Annals of Operations Research, Springer, vol. 281(1), pages 397-422, October.
  59. Michaelides, Alexander & Gomes, Francisco & ,, 2005. "Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts," CEPR Discussion Papers 4852, C.E.P.R. Discussion Papers.
  60. Letendre, Marc-Andre & Smith, Gregor W., 2001. "Precautionary saving and portfolio allocation: DP by GMM," Journal of Monetary Economics, Elsevier, vol. 48(1), pages 197-215, August.
  61. Anthony W. Lynch & Sinan Tan, 2004. "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers 11010, National Bureau of Economic Research, Inc.
  62. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 110(4), pages 793-824, August.
  63. Lu, Xiaomeng & Guo, Jiaojiao & Gan, Li, 2020. "International comparison of household asset allocation: Micro-evidence from cross-country comparisons," Emerging Markets Review, Elsevier, vol. 43(C).
  64. Duca, John V., 2006. "Mutual funds and the evolving long-run effects of stock wealth on U.S. consumption," Journal of Economics and Business, Elsevier, vol. 58(3), pages 202-221.
  65. Michael Bleaney & Paul Mizen & Veronica Veleanu, 2016. "Bond Spreads and Economic Activity in Eight European Economies," Economic Journal, Royal Economic Society, vol. 126(598), pages 2257-2291, December.
  66. Reyno SEYMORE & Margaret MABUGU & Jan VAN HEERDEN, 2010. "Border Tax Adjustments to Negate the Economic Impact of an Electricity Generation Tax," EcoMod2010 259600155, EcoMod.
  67. Francisco Gomes & Alexander Michaelides, 2008. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 415-448, January.
  68. Kimball, Miles S & Sahm, Claudia R & Shapiro, Matthew D, 2008. "Imputing Risk Tolerance From Survey Responses," Journal of the American Statistical Association, American Statistical Association, vol. 103(483), pages 1028-1038.
  69. Ricardo Bebczuk & Maria Lorena Garegnani, 2012. "Real State as Housing and as Financial Investment: A First Assessment for Argentina," IIE, Working Papers 095, IIE, Universidad Nacional de La Plata.
  70. Robert J. Shiller, 2005. "The Life-Cycle Personal Accounts Proposal for Social Security: A Review," NBER Working Papers 11300, National Bureau of Economic Research, Inc.
  71. Russell Cooper & Guozhong Zhu, 2016. "Household Finance over the Life-Cycle: What does Education Contribute?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 63-89, April.
  72. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 817-830, September.
  73. Roger Ibbotson & Peng Chen & Moshe Milevsky & Xingnong Zhu, 2005. "Human Capital, Asset Allocation, and Life Insurance," Yale School of Management Working Papers amz2513, Yale School of Management, revised 01 Nov 2008.
  74. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
  75. Yoontae Hwang & Yongjae Lee & Frank J. Fabozzi, 2023. "Identifying household finance heterogeneity via deep clustering," Annals of Operations Research, Springer, vol. 325(2), pages 1255-1289, June.
  76. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  77. Kartik B. Athreya & Felicia Ionescu & Urvi Neelakantan, 2015. "Stock Market Investment: The Role of Human Capital," Working Paper 15-7, Federal Reserve Bank of Richmond.
  78. Chod, Jiri & Lyandres, Evgeny, 2011. "Strategic IPOs and product market competition," Journal of Financial Economics, Elsevier, vol. 100(1), pages 45-67, April.
  79. Hu, Xiaoqing, 2005. "Portfolio choices for homeowners," Journal of Urban Economics, Elsevier, vol. 58(1), pages 114-136, July.
  80. Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 3929-3965, November.
  81. Régis Barnichon & Christian Matthes & Alexander Ziegenbein, 2016. "Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions," Working Paper 16-15, Federal Reserve Bank of Richmond.
  82. Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938, Elsevier.
  83. Gomes, Francisco & Michaelides, Alexander, 2004. "A human capital explanation for an asset allocation puzzle?," LSE Research Online Documents on Economics 24705, London School of Economics and Political Science, LSE Library.
  84. Jaeyong Yu & Gunyoung Lee & Jang Ho Kim, 2021. "Towards Personal Financial Sustainability Based on Human Capital Analysis in Korea," Sustainability, MDPI, vol. 13(5), pages 1-13, March.
  85. Michaelides, Alexander, 2003. "International portfolio choice, liquidity constraints and the home equity bias puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 555-594, December.
  86. Bollen, Nicolas P.B. & Posavac, Steven, 2018. "Gender, risk tolerance, and false consensus in asset allocation recommendations," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 304-317.
  87. Gust, Christopher & López-Salido, David, 2014. "Monetary policy and the cyclicality of risk," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 59-75.
  88. Ma, Qingyin & Toda, Alexis Akira, 2022. "Asymptotic linearity of consumption functions and computational efficiency," Journal of Mathematical Economics, Elsevier, vol. 98(C).
  89. Roger Ibbotson & Peng Chen & Moshe Milevsky & Xingnong Zhu, 2005. "Human Capital, Asset Allocation, and Life Insurance," Yale School of Management Working Papers amz2513, Yale School of Management, revised 01 Nov 2008.
  90. Knut K. Aase, 2016. "Recursive utility using the stochastic maximum principle," Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
  91. Lynch, Anthony W. & Tan, Sinan, 2011. "Labor income dynamics at business-cycle frequencies: Implications for portfolio choice," Journal of Financial Economics, Elsevier, vol. 101(2), pages 333-359, August.
  92. Yannis Bilias & Michael Haliassos, 2004. "The Distribution of Gains from Access to Stocks," CSEF Working Papers 125, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  93. Ravi Jagannathan & Narayana R. Kocherlakota, 1996. "Why should older people invest less in stock than younger people?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 20(Sum), pages 11-23.
  94. Thomas Hintermaier & Winfried Koeniger, 2016. "Debt Portfolios and Homestead Exemptions," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(4), pages 103-141, October.
  95. Xiaohong Angerer & Pok‐Sang Lam, 2009. "Income Risk and Portfolio Choice: An Empirical Study," Journal of Finance, American Finance Association, vol. 64(2), pages 1037-1055, April.
  96. Bonaparte, Yosef & Cooper, Russell & Zhu, Guozhong, 2012. "Consumption smoothing and portfolio rebalancing: The effects of adjustment costs," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 751-768.
  97. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
  98. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2016. "Human capital and international portfolio diversification: A reappraisal," Journal of International Economics, Elsevier, vol. 99(S1), pages 78-96.
  99. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  100. Novy-Marx, Robert & Rauh, Joshua D., 2014. "Linking benefits to investment performance in US public pension systems," Journal of Public Economics, Elsevier, vol. 116(C), pages 47-61.
  101. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, July-Dece.
  102. Dimmock, Stephen G. & Kouwenberg, Roy, 2010. "Loss-aversion and household portfolio choice," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 441-459, June.
  103. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
  104. Lee, Kiryoung & Jeon, Yoontae & Jo, Chanik, 2020. "Chinese economic policy uncertainty and U.S. households' portfolio decisions," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
  105. Athreya, Kartik, 2006. "Fresh start or head start? Uniform bankruptcy exemptions and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2051-2079, November.
  106. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
  107. Rajnish Mehra, 2003. "The Equity Premium: Why is it a Puzzle?," NBER Working Papers 9512, National Bureau of Economic Research, Inc.
  108. Kim, Yun-Yeong, 2021. "Composite-asset-risk approach to solving the equity premium puzzle," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 200-216.
  109. Stephen G. Dimmock & Roy Kouwenberg & Peter P. Wakker, 2016. "Ambiguity Attitudes in a Large Representative Sample," Management Science, INFORMS, vol. 62(5), pages 1363-1380, May.
  110. David McCarthy, 2003. "A Lifecycle Analysis of Defined Benefit Pension Plans," Working Papers wp053, University of Michigan, Michigan Retirement Research Center.
  111. Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
  112. Gourio, François, 2011. "Putty-clay technology and stock market volatility," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 117-131, March.
  113. Alain Bensoussan & Bong-Gyu Jang & Seyoung Park, 2016. "Unemployment Risks and Optimal Retirement in an Incomplete Market," Operations Research, INFORMS, vol. 64(4), pages 1015-1032, August.
  114. Hsu, Jason C., 2012. "What drives equity market non-participation?," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 86-114.
  115. Gormley, Todd & Liu, Hong & Zhou, Guofu, 2010. "Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance," Journal of Financial Economics, Elsevier, vol. 96(2), pages 331-344, May.
  116. Kiryoung Lee & Yoontae Jeon & Insik Kim, 2021. "Which economic uncertainty measure matters for households' portfolio decision?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(2), pages 343-369, June.
  117. Russell Cooper & Guozhong Zhu, 2017. "Household Finance in China," NBER Working Papers 23741, National Bureau of Economic Research, Inc.
  118. Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, vol. 56(2), pages 433-470, April.
  119. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  120. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
  121. Schwartz, Eduardo S & Tebaldi, Claudio, 2004. "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management qt7q65t12x, Anderson Graduate School of Management, UCLA.
  122. Agarwal, Vikas & Aslan, Hadiye & Huang, Lixin & Ren, Honglin, 2021. "Political uncertainty and household stock market participation," CFR Working Papers 21-06, University of Cologne, Centre for Financial Research (CFR).
  123. Jacoby, Gady & Liao, Chi & Lu, Xiaomeng & Wan, Fang, 2023. "The effect of fraud experience on investment behavior," Emerging Markets Review, Elsevier, vol. 55(C).
  124. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.
  125. Cai, Jun & Ge, Chenliang, 2012. "Multi-objective private wealth allocation without subportfolios," Economic Modelling, Elsevier, vol. 29(3), pages 900-907.
  126. Łukowski, Michał & Gemra, Kamil & Maruszewski, Janusz & Śliwiński, Paweł & Zygmanowski, Piotr, 2020. "Equity premium puzzle — Evidence from Poland," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  127. Markus K. Brunnermeier & Stefan Nagel, 2006. "Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation," NBER Working Papers 12809, National Bureau of Economic Research, Inc.
  128. Kartik B. Athreya, 2001. "The growth of unsecured credit : are we better off?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 11-33.
  129. Nicholas Barberis & Ming Huang, 2006. "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle," NBER Working Papers 12378, National Bureau of Economic Research, Inc.
  130. Hui-Ju Tsai & Yangru Wu, 2015. "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 215-249, July.
  131. Munk, Claus, 2000. "Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(9), pages 1315-1343, August.
  132. Jakša Cvitani'{c} & Levon Goukasian & Fernando Zapatero, 2007. "Optimal Risk Taking with Flexible Income," Management Science, INFORMS, vol. 53(10), pages 1594-1603, October.
  133. Robert Novy-Marx & Joshua D. Rauh, 2012. "Linking Benefits to Investment Performance in US Public Pension Systems," NBER Working Papers 18491, National Bureau of Economic Research, Inc.
  134. Stephen Cauley & Andrey Pavlov & Eduardo Schwartz, 2007. "Homeownership as a Constraint on Asset Allocation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 283-311, April.
  135. Barnichon, Regis & Matthes, Christian & Ziegenbein, Alexander, 2016. "Assessing the Non-Linear Effects of Credit Market Shocks," CEPR Discussion Papers 11410, C.E.P.R. Discussion Papers.
  136. Chung, Kee H. & Smith, William T. & Wu, Tao L., 2009. "Time diversification: Definitions and some closed-form solutions," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1101-1111, June.
  137. Andrew Grant & Steve Satchell, 2019. "Endogenous divorce risk and investment," Journal of Population Economics, Springer;European Society for Population Economics, vol. 32(3), pages 845-876, July.
  138. Jang, Bong-Gyu & Park, Seyoung & Zhao, Huainan, 2020. "Optimal retirement with borrowing constraints and forced unemployment risk," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 25-39.
  139. Jialun Li & Kent Smetters, 2011. "Optimal Portfolio Choice with Wage-Indexed Social Security," NBER Working Papers 17025, National Bureau of Economic Research, Inc.
  140. Lin, Wen-chang & Lu, Jin-ray, 2012. "Risky asset allocation and consumption rule in the presence of background risk and insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 150-158.
  141. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.
  142. Horneff, Wolfram & Maurer, Raimond & Rogalla, Ralph, 2010. "Dynamic portfolio choice with deferred annuities," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2652-2664, November.
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