| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10369 |
| DP10369 Life-Cycle Portfolio choice with Liquid and Illiquid Assets | |
| Francisco Gomes; Carolina Fugazza | |
| 发表日期 | 2015-01-25 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | Traditionally, quantitative models that have studied households' portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macro literature. We show that, when these costs are calibrated to match the observed infrequency of households' trading, the model is able to generate patterns of portfolio stock allocation over age and wealth that are constant or moderately increasing, thus more in line with the existing empirical evidence. |
| 主题 | Financial Economics |
| 关键词 | Household portfolio choice Self-insurance Cash-in-advance Transaction cost |
| URL | https://cepr.org/publications/dp10369 |
| 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/539200 |
| 推荐引用方式 GB/T 7714 | Francisco Gomes,Carolina Fugazza. DP10369 Life-Cycle Portfolio choice with Liquid and Illiquid Assets. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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