| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15227 |
| 来源ID | Working Paper 15227 |
| Costly Portfolio Adjustment | |
| Yosef Bonaparte; Russell Cooper | |
| 发表日期 | 2009-08-13 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper studies the dynamic optimization problem of a household when portfolio adjustment is costly. The analysis is motivated by the observation that on an annual basis, less than 71% of stockholders typically adjust their portfolio of common stocks. We use this, and related observations, to estimate the parameters of household preferences and portfolio adjustment costs. We find significant adjustment costs, beyond the direct costs of buying and selling assets. These adjustment costs and the consequent inactivity in portfolio adjustment imply that inferences drawn about household risk aversion and the elasticity of intertemporal substitution are biased: household risk aversion is lower compared to other estimates and it is not equal to the inverse of the elasticity of intertemporal substitution. |
| 主题 | Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15227 |
| 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/572903 |
| 推荐引用方式 GB/T 7714 | Yosef Bonaparte,Russell Cooper. Costly Portfolio Adjustment. 2009. |
| 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 | ||
| w15227.pdf（252KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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