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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.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Life-cycle effects of internal habit formation on portfolio choice./
Author:	Gupta, Tarun.
Description:	45 p.
Notes:	Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2579.
Contained By:	Dissertation Abstracts International71-07A.
Subject:	Economics, Finance. -
Online resource:	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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020 $a 9781124048697
035 $a (UMI)AAI3408532
035 $a AAI3408532
040 $a UMI $c UMI
100 1 $a Gupta, Tarun. $3 1672979
245 1 0 $a Life-cycle effects of internal habit formation on portfolio choice.
300 $a 45 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-07, Section: A, page: 2579.
500 $a Adviser: Fernando Alvarez.
502 $a Thesis (Ph.D.)--The University of Chicago, 2010.
520 $a 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.
590 $a School code: 0330.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 $a The University of Chicago. $b Economics. $3 1672980
773 0 $t Dissertation Abstracts International $g 71-07A.
790 1 0 $a Alvarez, Fernando, $e advisor
790 1 0 $a Hansen, Lars P. $e committee member
790 1 0 $a Uhlig, Harald $e committee member
790 $a 0330
791 $a Ph.D.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3408532