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Life-cycle effects of internal habit...

Gupta, Tarun.

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Life-cycle effects of internal habit formation on portfolio choice.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Life-cycle effects of internal habit formation on portfolio choice./
作者:	Gupta, Tarun.
面頁冊數:	45 p.
附註:	Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2579.
Contained By:	Dissertation Abstracts International71-07A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3408532
ISBN:	9781124048697

Life-cycle effects of internal habit formation on portfolio choice.
Gupta, Tarun.

Life-cycle effects of internal habit formation on portfolio choice. - 45 p.

Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2579.

Thesis (Ph.D.)--The University of Chicago, 2010.

The presence of an internal habit, interpreted as a minimum acceptable lifestyle, has important consequences for portfolio choice of agents. The risk aversion of agents varies endogenously through the life cycle depending on evolution of the agent's habit. For the case where total wealth is capitalized, I obtain analytical solutions for the value and policy functions in a continuous time finite horizon model. There is an interesting life cycle effect which I highlight. Younger agents need to sustain their habits for a longer horizon, thereby making them more risk averse and inducing them to optimally hold more conservative portfolios, as compared to older agents who have fewer outstanding periods, hence worry less about sustaining future habits and hold more aggressive portfolios. The model is applied to study portfolio decisions of retired households, in contrast to the standard model it is able to explain the data.

ISBN: 9781124048697Subjects--Topical Terms:

626650
Economics, Finance.

Life-cycle effects of internal habit formation on portfolio choice.
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