Why Do Household Portfolio Shares Rise in Wealth?

被引：113

作者：

Wachter, Jessica A. ^{[2
,3
]}

Yogo, Motohiro ^{[1
,2
]}

机构：

[1] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2010年 / 23卷 / 11期

关键词：

LABOR INCOME RISK; LIFE-CYCLE MODEL; OPTIMAL CONSUMPTION; EMPIRICAL-EVIDENCE; EXPECTED RETURNS; ASSET ALLOCATION; HABIT FORMATION; LONG-RUN; CHOICE; PREFERENCES;

D O I：

10.1093/rfs/hhq092

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a life-cycle consumption and portfolio choice model in which households have nonhomothetic utility over two types of goods, basic and luxury. We calibrate the model to match the cross-sectional and life-cycle variation in the basic expenditure share in the Consumer Expenditure Survey. The model explains the degree to which the portfolio share in risky assets rises in wealth in the cross-section of households in the Survey of Consumer Finances. For a given household, the portfolio share can fall in response to an increase in wealth, even though the model implies decreasing relative risk aversion. (JEL D11, D12, G11)

引用

页码：3929 / 3965

页数：37

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