Precautionary Portfolio Behavior from a Life-Cycle Perspective

Precautionary Portfolio Behavior from a Life-Cycle Perspective
Author: Carol C. Bertaut
Publisher:
Total Pages:
Release: 2008
Genre:
ISBN:

The literature on asset accumulation by households draws a sharp distinction between quot;short-runquot; precautionary motives to buffer annual consumption from annual labor income shocks, and quot;long-runquot; life cycle considerations under labor income certainty. However, empirical estimates of the persistence of shocks to annual incomes imply that households are subject to considerable career uncertainty. We study long-run precautionary motives for life-cycle wealth accumulation and portfolio choice. We compute optimal portfolios under three sources of uncertainty (stock returns, incomes, and lifespan), and explore the separate contributions of several key factors for mean and median asset holdings, including education, risk aversion, household heterogeneity, utility from bequests, time preference, and variance and serial correlation of income shocks. Numerical solutions for households in three education groups are compared with data from the most recent and comprehensive source, the 1992 Survey of Consumer Finances.

Strategic Asset Allocation

Strategic Asset Allocation
Author: John Y. Campbell
Publisher: Clarendon Lectures in Economic
Total Pages: 280
Release: 2002
Genre: Asset allocation
ISBN: 9780198296942

This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.

The Limits of Choice

The Limits of Choice
Author: Sahra Wagenknecht
Publisher: Campus Verlag
Total Pages: 329
Release: 2013-10-02
Genre: Business & Economics
ISBN: 3593399164

In The Limits of Choice, Sahra Wagenknecht examines household saving decisions and basic needs in Germany and the United States, based on official data from both countries from the 1950s to present day. Arguing against the hypothesis that assumes consumers optimize their consumption intertemporally based exclusively on their permanent or lifetime income, Wagenknecht proposes a rule of thumb, according to which consumers will save if their current income exceeds basic expenditure, while they will demand credit when income can no longer meet basic needs.

Investor Behavior

Investor Behavior
Author: H. Kent Baker
Publisher: John Wiley & Sons
Total Pages: 645
Release: 2014-02-06
Genre: Business & Economics
ISBN: 1118727029

WINNER, Business: Personal Finance/Investing, 2015 USA Best Book Awards FINALIST, Business: Reference, 2015 USA Best Book Awards Investor Behavior provides readers with a comprehensive understanding and the latest research in the area of behavioral finance and investor decision making. Blending contributions from noted academics and experienced practitioners, this 30-chapter book will provide investment professionals with insights on how to understand and manage client behavior; a framework for interpreting financial market activity; and an in-depth understanding of this important new field of investment research. The book should also be of interest to academics, investors, and students. The book will cover the major principles of investor psychology, including heuristics, bounded rationality, regret theory, mental accounting, framing, prospect theory, and loss aversion. Specific sections of the book will delve into the role of personality traits, financial therapy, retirement planning, financial coaching, and emotions in investment decisions. Other topics covered include risk perception and tolerance, asset allocation decisions under inertia and inattention bias; evidenced based financial planning, motivation and satisfaction, behavioral investment management, and neurofinance. Contributions will delve into the behavioral underpinnings of various trading and investment topics including trader psychology, stock momentum, earnings surprises, and anomalies. The final chapters of the book examine new research on socially responsible investing, mutual funds, and real estate investing from a behavioral perspective. Empirical evidence and current literature about each type of investment issue are featured. Cited research studies are presented in a straightforward manner focusing on the comprehension of study findings, rather than on the details of mathematical frameworks.

Household Portfolios

Household Portfolios
Author: Luigi Guiso
Publisher: MIT Press
Total Pages: 552
Release: 2002
Genre: Business & Economics
ISBN: 9780262072212

Theoretical and empirical analysis of the structure of household portfolios.

Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia
Publisher: Elsevier
Total Pages: 809
Release: 2009-10-19
Genre: Business & Economics
ISBN: 0080929842

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of the Equity Risk Premium

Handbook of the Equity Risk Premium
Author: Rajnish Mehra
Publisher: Elsevier
Total Pages: 635
Release: 2011-08-11
Genre: Business & Economics
ISBN: 0080555853

Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.

Risk Aspects of Investment-Based Social Security Reform

Risk Aspects of Investment-Based Social Security Reform
Author: John Y. Campbell
Publisher: University of Chicago Press
Total Pages: 509
Release: 2009-02-15
Genre: Political Science
ISBN: 0226092569

Our current social security system operates on a pay-as-you-go basis; benefits are paid almost entirely out of current revenues. As the ratio of retirees to taxpayers increases, concern about the high costs of providing benefits in a pay-as-you-go system has led economists to explore other options. One involves "prefunding," in which a person's withholdings are invested in financial instruments, such as stocks and bonds, the eventual returns from which would fund his or her retirement. The risks such a system would introduce—such as the volatility in the market prices of investment assets—are the focus of this offering from the NBER. Exploring the issues involved in measuring risk and developing models to reflect the risks of various investment-based systems, economists evaluate the magnitude of the risks that both retirees and taxpayers would assume. The insights that emerge show that the risk is actually moderate relative to the improved return, as well as being balanced by the ability of an investment-based system to adapt to differences in individual preferences and conditions.

Computational Methods in Decision-Making, Economics and Finance

Computational Methods in Decision-Making, Economics and Finance
Author: Erricos John Kontoghiorghes
Publisher: Springer Science & Business Media
Total Pages: 626
Release: 2013-11-11
Genre: Business & Economics
ISBN: 1475736134

Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.