Now showing items 1-5 of 5
When Do Jumps Matter for Portfolio Optimization?
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...
Life Insurance Demand under Health Shock Risk
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ...
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ...
"""Nobody is Perfect"": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors"
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ...
Taring All Investors with the Same Brush? Evidence for Heterogeneity in Individual Preferences from a Maximum Likelihood Approach
Abstract. Microeconomic modeling of investors behavior in financial markets and its results crucially depends on assumptions about the mathematical shape of the underlying preference functions as well as their parameterizations. ...