Stabsseminar i dag

I dag holder Institutt for foretaksøkonomi stabsseminar. Seminaret er ved Francisco J. Gomes fra London Business School. Temaet er Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence.

12.03.2004 - Stig Nøra

Tid: Fredag 12. mars klokken 12.15-13.30
Sted: Auditorium 13

Abstract
We show that a life cycle model with realistically calibrated
uninsurable labor income risk and moderate risk aversion can
simultaneously match stock market participation rates and asset
allocation decisions conditional on participation. The key ingredients
of the model are Epstein-Zin preferences, a fixed stock market entry
cost, and moderate heterogeneity in risk aversion. Households with low
risk aversion smooth earnings shocks with a small buffer stock of assets
and consequently most of them (optimally) never invest in equities.
Therefore, the marginal stockholders are (endogenously) more risk averse
and as a result they do not invest their portfolios fully in stocks.

Paper er tilgjengelig på http://www.nhh.no/for/seminars/2004-spring/120304.pdf

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