IDEAS home Printed from https://ideas.repec.org/r/red/issued/v6y2003i4p729-766.html
   My bibliography  Save this item

Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Thomas Post & Helmut Gründl & Hato Schmeiser, 2006. "Portfolio management and retirement: what is the best arrangement for a family?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 265-285, September.
  2. Kim, Hugh H. & Maurer, Raimond & Mitchell, Olivia S., 2013. "Time is money: Life cycle rational inertia and delegation of investment management," CFS Working Paper Series 2013/08, Center for Financial Studies (CFS).
  3. 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.
  4. Khorunzhina, Natalia, 2013. "Structural estimation of stock market participation costs," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2928-2942.
  5. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012. "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 108-126, January.
  6. Zhou, Y., 2014. "Essays on habit formation and inflation hedging," Other publications TiSEM 4886da12-1b84-4fd9-aa07-3, Tilburg University, School of Economics and Management.
  7. Salamanca, Nicolás & de Grip, Andries & Sleijpen, Olaf, 2020. "How People React to Pension Risk," IZA Discussion Papers 13077, Institute of Labor Economics (IZA).
  8. Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021. "Household Finance," Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
  9. Binswanger, Johannes, 2010. "Understanding the heterogeneity of savings and asset allocation: A behavioral-economics perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 76(2), pages 296-317, November.
  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. Binswanger, J., 2008. "A Simple Bounded-Rationality Life Cycle Model," Discussion Paper 2008-13, Tilburg University, Center for Economic Research.
  12. Patrick Reichert & Marek Hudon & Ariane Szafarz & Robert K. Christensen, 2021. "Crowding-In or Crowding-Out? How Subsidies Signal the Path to Financial Independence of Social Enterprises," Working Papers CEB 21-014, ULB -- Universite Libre de Bruxelles.
  13. Gomes, Francisco & Fugazza, Carolina & Campanale, Claudio, 2015. "Life-Cycle Portfolio choice with Liquid and Illiquid Assets," CEPR Discussion Papers 10369, C.E.P.R. Discussion Papers.
  14. 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.
  15. Luik, Marc-André & Berlemann, Michael, 2014. "Institutional Reform and Depositors’ Portfolio Choice: Evidence from Censored Quantile Regressions," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100291, Verein für Socialpolitik / German Economic Association.
  16. Gust, Christopher & López-Salido, David, 2014. "Monetary policy and the cyclicality of risk," Journal of Monetary Economics, Elsevier, vol. 62(C), pages 59-75.
  17. Amadeu DaSilva & Mira Farka & Christos Giannikos, 2011. "Habit Formation in an Overlapping Generations Model with Borrowing Constraints," European Financial Management, European Financial Management Association, vol. 17(4), pages 705-725, September.
  18. Julio Gálvez & Gonzalo Paz-Pardo, 2022. "Richer earnings dynamics, consumption and portfolio choice over the life cycle," Working Papers 2241, Banco de España.
  19. Ms. Sònia Muñoz, 2006. "Habit Formation and Persistence in Individual Asset Portfolio Holdings: The Case of Italy," IMF Working Papers 2006/029, International Monetary Fund.
  20. Bambi, Mauro & Gozzi, Fausto, 2020. "Internal habits formation and optimality," Journal of Mathematical Economics, Elsevier, vol. 91(C), pages 165-172.
  21. van Bilsen, Servaas & Linders, Daniël, 2019. "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 19-42.
  22. Binswanger, J., 2010. "Towards Understanding Life Cycle Savings of Boundedly Rational Agents : A Model with Feasibility Goals (Revision of DP 2008-14)," Other publications TiSEM 63db6161-5b89-4743-b3b1-b, Tilburg University, School of Economics and Management.
  23. Tong-yob Nam, 2021. "Geographic Heterogeneity in Housing Market Risk and Portfolio Choice," The Journal of Real Estate Finance and Economics, Springer, vol. 62(4), pages 508-547, May.
  24. Binswanger, Johannes, 2011. "Dynamic decision making with feasibility goals: A procedural-rationality approach," Journal of Economic Behavior & Organization, Elsevier, vol. 78(3), pages 219-228, May.
  25. Binswanger, J., 2008. "Towards Understanding Life Cycle Saving Of Boundedly Rational Agents : A Model With Feasibility Goals - Replaced by CentER Discussion Paper 2010-138," Discussion Paper 2008-14, Tilburg University, Center for Economic Research.
  26. Carolina Achury & Sylwia Hubar & Christos Koulovatianos, 2012. "Saving Rates and Portfolio Choice with Subsistence Consumption," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(1), pages 108-126, January.
  27. Cherbonnier, Frédéric & Gollier, Christian, 2015. "Decreasing aversion under ambiguity," Journal of Economic Theory, Elsevier, vol. 157(C), pages 606-623.
  28. Yunker, James A. & Melkumian, Alla A., 2010. "The effect of capital wealth on optimal diversification: Evidence from the Survey of Consumer Finances," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 90-98, February.
  29. Bremus, Franziska M. & Kuzin, Vladimir, 2014. "Unemployment and portfolio choice: Does persistence matter?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 99-113.
  30. Chen, Guodong & Lee, Minjoon & Nam, Tong-yob, 2020. "Forced retirement risk and portfolio choice," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 293-315.
  31. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
  32. 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.
  33. Hubar, Sylwia & Koulovatianos, Christos & Li, Jian, 2020. "The role of labor-income risk in household risk-taking," European Economic Review, Elsevier, vol. 129(C).
  34. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
  35. Servaas van Bilsen & Roger J. A. Laeven & Theo E. Nijman, 2020. "Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level," Management Science, INFORMS, vol. 66(9), pages 3927-3955, September.
  36. Raffaele Miniaci & Sergio Pastorello, 2010. "Mean-variance econometric analysis of household portfolios," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(3), pages 481-504.
  37. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2005. "Annuities and Individual Welfare," American Economic Review, American Economic Association, vol. 95(5), pages 1573-1590, December.
  38. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc.
  39. Giuseppe Cappelletti, 2012. "Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation," Temi di discussione (Economic working papers) 845, Bank of Italy, Economic Research and International Relations Area.
  40. Bu, Di & Hanspal, Tobin & Liao, Yin & Liu, Yong, 2021. "Risk taking, preferences, and beliefs: Evidence from Wuhan," SAFE Working Paper Series 301, Leibniz Institute for Financial Research SAFE.
  41. Jeffrey Wenger & Christian E. Weller, 2008. "The Interplay between Labor and Financial Markets: What are the Implications for Defined Contribution Accounts?," Working Papers wp162, Political Economy Research Institute, University of Massachusetts at Amherst.
  42. Kartik Athreya & Felicia Ionescu & Urvi Neelakantan, 2023. "Stock Market Participation: The Role of Human Capital," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 1-18, January.
  43. Campanale Claudio & Fugazza Carolina, 2022. "Preference for Wealth and Life Cycle Portfolio Choice," Working papers 075, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  44. Johannes Binswanger, 2005. "Risk Management of Pension Systems from the Perspective of Loss Aversion," CESifo Working Paper Series 1572, CESifo.
  45. Francisco Gomes & Alex Michaelides, 2003. "(UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence," FMG Discussion Papers dp474, Financial Markets Group.
  46. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
  47. Thomas Post & Helmut Gründl & Joan Schmit & Anja Zimmer, 2008. "The Impact of Individual Investment Behavior for Retirement Welfare: Evidence from the United States and Germany," SFB 649 Discussion Papers SFB649DP2008-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  48. Kraft, Holger & Munk, Claus & Wagner, Sebastian, 2015. "Housing habits and their implications for life-cycle consumption and investment," SAFE Working Paper Series 85, Leibniz Institute for Financial Research SAFE, revised 2015.
  49. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
  50. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
  51. 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.
  52. Kartik B. Athreya & Felicia Ionescu & Urvi Neelakantan, 2015. "Stock Market Investment: The Role of Human Capital," Finance and Economics Discussion Series 2015-65, Board of Governors of the Federal Reserve System (U.S.).
  53. Astrid Matthey, 2005. "Getting Used to Risks: Reference Dependence and Risk Inclusion," SFB 649 Discussion Papers SFB649DP2005-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  54. Antoine Bommier, 2008. "Rational Impatience ?," Working Papers hal-00441880, HAL.
  55. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
  56. Jason S. Seligman & Jeffrey B. Wenger, 2005. "Asynchronous Risk: Unemployment, Equity Markets, and Retirement Savings," Upjohn Working Papers 05-114, W.E. Upjohn Institute for Employment Research.
  57. Florian Zainhofer, 2007. "Life Cycle Portfolio Choice: A Swiss Perspective," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(II), pages 187-238, June.
  58. Thakurata, Indrajit, 2021. "Optimal portfolio choice with stock market entry costs and human capital investments: A developing country model," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 175-195.
  59. Chen, Xi, 2018. "Optimal life cycle mortgage and portfolio choices in the presence of the affordability constraint," Journal of Housing Economics, Elsevier, vol. 39(C), pages 1-16.
  60. 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.
  61. Bovenberg, A.L. & Koijen, R.S.J. & Nijman, T.E. & Teulings, C.N., 2007. "Saving and investing over the life cycle and the role of collective pension funds," Other publications TiSEM 6eab1341-eda5-4f21-8c06-8, Tilburg University, School of Economics and Management.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.