Optimal portfolio choice for investors with industry-specific labor income risks

被引：3

作者：

Tsai, Hui-Ju ^{[1
]}

Wu, Yangru ^{[2
]}

机构：

[1] Washington Coll, Chestertown, MD 21620 USA

[2] Rutgers State Univ, Rutgers Business Sch Newark & New Brunswick, Newark, NJ 07102 USA

来源：

FINANCE RESEARCH LETTERS | 2014年 / 11卷 / 04期

关键词：

Portfolio choice; Labor income; Industries; ASSET ALLOCATION; CROSS-SECTION; STOCK RETURNS; MODEL;

D O I：

10.1016/j.frl.2014.07.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study optimal investment decisions for long-horizon investors with industry-specific labor income risks. We find that in addition to the volatility of labor income growth, the correlation between labor income and risky asset returns is another important factor that affects the optimal portfolio decisions and may provide a plausible explanation for the mixed empirical evidence of the relationship between labor income risk and portfolio holdings. Depending on its relative covariance with stock and bond returns, labor income may help resolve or deepen the asset allocation puzzle. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：429 / 436

页数：8

共 18 条

[1]

Bagliano Fabio, 2013, REV FINAN

[2] Hedging labor income risk [J].