| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4971 |
| DP4971 Reforming the Formula: A Modest Proposal for Introducing Development Outcomes in IDA Allocation Procedures | |
| Ravi Kanbur | |
| 发表日期 | 2005-03-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | This paper examines the optimal consumption and portfolio choice problem of long-horizon investors who have access to a riskless asset with constant return and a risky asset (?stocks?) with constant expected return and time varying precision ? the reciprocal of volatility. Markets are incomplete, and investors have recursive preferences defined over intermediate consumption. The paper obtains a solution to this problem that is exact for investors with unit elasticity of intertemporal substitution of consumption, and approximate otherwise. The optimal portfolio demand for stocks includes an intertemporal hedging component that is negative when investors have coefficients of relative risk aversion larger than one, and the instantaneous correlation between volatility and stock returns is negative, as typically estimated from stock return data. Our estimates of the joint process for stock returns and precision (or volatility) using US data confirm this finding. But we also find that stock return volatility does not appear to be variable and persistent enough to generate large intertemporal hedging demands. |
| 主题 | Financial Economics |
| 关键词 | Long-horizon investing Dynamic portfolio choice Intertemporal hedging stochastic volatility Spectral gmm Recursive utility |
| URL | https://cepr.org/publications/dp4971 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533869 |
| 推荐引用方式 GB/T 7714 | Ravi Kanbur. DP4971 Reforming the Formula: A Modest Proposal for Introducing Development Outcomes in IDA Allocation Procedures. 2005. |
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