Benchmarks in Aggregate Household Portfolios

Details

Ressource 1Download: BIB_CC042138AF8D.P001.pdf (500.51 [Ko])
State: Public
Version: author
Serval ID
serval:BIB_CC042138AF8D
Type
Report: a report published by a school or other institution, usually numbered within a series.
Publication sub-type
Working paper: Working papers contain results presented by the author. Working papers aim to stimulate discussions between scientists with interested parties, they can also be the basis to publish articles in specialized journals
Collection
Publications
Institution
Title
Benchmarks in Aggregate Household Portfolios
Author(s)
St-Amour P.
Institution details
Université de Lausanne - HEC - DEEP
Issued date
12/2006
Number
07.07
Genre
Cahiers de recherches économiques
Language
english
Number of pages
54
Abstract
Reference-dependent preference models assume that agents derive utility from deviations of consumption from benchmark levels, rather than from consumption levels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by Prospect Theory). For both cases, we specify and estimate a fully structural multi-variate Brownian system in optimal consumption, portfolio and wealth using aggregate household financial and real 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.
Keywords
portfolio choice, reference-dependent utility, habit, prospect, estimation of diffusion processes
Create date
30/08/2013 11:00
Last modification date
21/08/2019 6:10
Usage data