Showing 1 - 10 of 108
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare...
Persistent link: https://www.econbiz.de/10005518776
This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets) and disaggregated assets (i.e. deposits, stocks, and reserves for life insurance and pensions), rather than traditional underlying pricing implications for stocks. Hence, our...
Persistent link: https://www.econbiz.de/10005611930
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portofolio allocations. We then compare...
Persistent link: https://www.econbiz.de/10005670292
This letter presents and assesses a procedure to generate recursive measures of aggregate total wealth and portfolio return. Conceptually, the procedure is more flexible than the classical replacement cost and present value methods. Empirically, the procedure yields recursive measures that...
Persistent link: https://www.econbiz.de/10005795980
This paper investigates the testable restrictions on the time- series behavior of equity premia implied by a representative agent model whose state- and time-non-separable preferences are subject to taste shocks. The model nests state- and time-separable preferences with and without taste shocks...
Persistent link: https://www.econbiz.de/10005795998
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare...
Persistent link: https://www.econbiz.de/10005101001
This study focuses on dynamic asset pricing implications for consumption and portfolio shares. First, we exploit the investors' intertemporal budget constraint and the induced national saving identity to construct US total wealth. We then document the empirical shares using aggregate consumption...
Persistent link: https://www.econbiz.de/10005827140
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption, market, and taste risks involved in the Euler equations are recovered from a common factor GARCH process and the MLE are...
Persistent link: https://www.econbiz.de/10005252056
Persistent link: https://www.econbiz.de/10003059503
Persistent link: https://www.econbiz.de/10002661472