全球智库信息集成服务系统(G2TT): Collateralized Borrowing and Life-Cycle Portfolio Choice

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w12309
来源ID	Working Paper 12309
	Collateralized Borrowing and Life-Cycle Portfolio Choice
	Paul Willen; Felix Kubler
发表日期	2006-06-19
出版年	2006
语种	英语
摘要	We examine the effects of collateralized borrowing in a realistically parameterized life-cycle portfolio choice problem. We provide basic intuition in a two-period model and then solve a multi-period model computationally. Our analysis provides insights into life-cycle portfolio choice relevant for researchers in macroeconomics and finance. In particular, we show that standard models with unlimited borrowing at the riskless rate dramatically overstate the gains to holding equity when compared with collateral-constrained models. Our results do not depend on the specification of the collateralized borrowing regime: the gains to trading equity remain relatively small even with the unrealistic assumption of unlimited leverage. We argue that our results strengthen the role of borrowing constraints in explaining the portfolio participation puzzle, that is, why most investors do not own stock.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Microeconomics ; Households and Firms
URL	https://www.nber.org/papers/w12309
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/569962
推荐引用方式 GB/T 7714	Paul Willen,Felix Kubler. Collateralized Borrowing and Life-Cycle Portfolio Choice. 2006.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w12309.pdf（325KB）	智库出版物		限制开放	CC BY-NC-SA	浏览