Life-cycle portfolio choice with liquid and illiquid financial assets

被引：22

作者：

Campanale, Claudio ^{[1
,2
]}

Fugazza, Carolina ^{[2
,3
]}

Gomes, Francisco ^{[4
]}

机构：

[1] Univ Alicante, Dept Fundamentos Anal Econ, Alicante 03690, Spain

[2] CeRP Coll Carlo Alberto, Turin, Italy

[3] Univ Turin, I-10124 Turin, Italy

[4] London Business Sch, London, England

来源：

JOURNAL OF MONETARY ECONOMICS | 2015年 / 71卷

关键词：

Household portfolio choice; Self-insurance; Cash-in-advance; Transaction cost; HABIT FORMATION; RISK-AVERSION; CONSUMPTION; STOCK; MANAGEMENT; ALLOCATION; MARKETS; TIME;

D O I：

10.1016/j.jmoneco.2014.11.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Traditionally, quantitative models that have studied households' portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macroliterature. We show that when these costs are calibrated to match the observed infrequency of households' trading, the model is able to generate patterns of portfolio stock allocation over age and wealth that are constant or moderately increasing, thus more in line with the existing empirical evidence. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：67 / 83

页数：17