Benchmarks in Aggregate Household Portfolios

Referencedependent preference models assume that agents derive utility fromdeviations of consumption from benchmark levels, rather than from consumptionlevels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by Prospect Theory). For bothcases, we specify and estimate a fully structural multi-variate Brownian system inoptimal consumption, portfolio and wealth using aggregate household ﬁnancial andreal estate wealth data. Our results reveal that references are (i) strongly relevant,(ii) state-dependent, and (iii) that the data is more consistent with the backward-than the forward-looking reference model.

MoreLess

Year of publication:	2006-12-19
Authors:	St-Amour, Pascal
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Portfolio Selection \| Benchmark \| Erwartungstheorie

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	550912 bytes 56 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 367 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)