haku: @indexterm INTEREST RATES / yhteensä: 1028
viite: 9 / 1028
| Tekijä: | Munk, C. Sorensen, C. |
| Otsikko: | Dynamic asset allocation with stochastic income and interest rates |
| Lehti: | Journal of Financial Economics
2010 : JUN, VOL 96:3, p. 433-462 |
| Asiasana: | portfolio management interest rates business cycles risk |
| Kieli: | eng |
| Tiivistelmä: | The purpose of the article is to contribute to the understanding of business cycle variations in employee wages by solving optimal portfolios in a situation where interest rates and labor income are stochastic, and the expected income growth is affine in the short term interest rate. The estimations are based on the Panel Study of Income Dynamics data and support the relation described with variation among individuals in the slope of the affine function. The slope is important for estimating the human capital riskiness and the optimal asset allocation in complete as well as incomplete markets. |
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