| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24722 |
| 来源ID | Working Paper 24722 |
| Portfolio Rebalancing in General Equilibrium | |
| Miles S. Kimball; Matthew D. Shapiro; Tyler Shumway; Jing Zhang | |
| 发表日期 | 2018-06-18 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends on the distribution of wealth, and an intertemporal hedging effect. After a negative macroeconomic shock, relatively risk tolerant investors sell risky assets while more risk averse investors buy them. Owing to interactions of leverage and changing wealth, however, all agents have higher exposure to aggregate risk after a negative macroeconomic shock and lower exposure after a positive shock. |
| 主题 | Microeconomics ; General Equilibrium ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24722 |
| 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/582395 |
| 推荐引用方式 GB/T 7714 | Miles S. Kimball,Matthew D. Shapiro,Tyler Shumway,et al. Portfolio Rebalancing in General Equilibrium. 2018. |
| 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 | ||
| w24722.pdf（585KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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