Non-Market Wealth, Background Risk and Portfolio Choice

Kurzanzeige
dc.contributor.authorFranke, Günter
dc.contributor.authorSchlesinger, Harris
dc.contributor.authorStapleton, Richard C.deu
dc.date.accessioned2011-03-25T09:41:24Zdeu
dc.date.available2011-03-25T09:41:24Zdeu
dc.date.issued2007deu
dc.description.abstractWe examine the effects of non-portfolio risks on optimal portfolio choice. Examples of non-portfolio risks include, among others, uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities. In particular, while some of these risks are added to portfolio value and have been amply studied, others are multiplicative in nature and have received far less attention. Moreover, the combined effects of multiple risks lead to some seemingly paradoxical choice behavior. We rationalize such behavior and we show how non-portfolio risks might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait-Sahilia and Lo (2000) and Jackwerth (2000).eng
dc.description.versionpublished
dc.format.mimetypeapplication/pdfdeu
dc.identifier.ppn322502020deu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/11962
dc.language.isoengdeu
dc.legacy.dateIssued2010deu
dc.relation.ispartofseriesCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
dc.rightsAttribution-NonCommercial-NoDerivs 2.0 Generic
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/2.0/
dc.subjectPortfolio choicedeu
dc.subjectDerived relative risk aversiondeu
dc.subjectAdditive background riskdeu
dc.subjectMultiplicative background riskdeu
dc.subject.ddc330deu
dc.subject.jelG11deu
dc.titleNon-Market Wealth, Background Risk and Portfolio Choiceeng
dc.typeWORKINGPAPERdeu
dspace.entity.typePublication
kops.bibliographicInfo.seriesNumber2007/11deu
kops.citation.bibtex
@techreport{Franke2007NonMa-11962,
  year={2007},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Non-Market Wealth, Background Risk and Portfolio Choice},
  number={2007/11},
  author={Franke, Günter and Schlesinger, Harris and Stapleton, Richard C.}
}
kops.citation.iso690FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2007. Non-Market Wealth, Background Risk and Portfolio Choicedeu
kops.citation.iso690FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2007. Non-Market Wealth, Background Risk and Portfolio Choiceeng
kops.citation.rdf
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/11962">
    <dcterms:title>Non-Market Wealth, Background Risk and Portfolio Choice</dcterms:title>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:creator>Schlesinger, Harris</dc:creator>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:24Z</dc:date>
    <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights>
    <dc:language>eng</dc:language>
    <dc:creator>Franke, Günter</dc:creator>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:24Z</dcterms:available>
    <dcterms:abstract xml:lang="eng">We examine the effects of non-portfolio risks on optimal portfolio choice. Examples of non-portfolio risks include, among others, uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities. In particular, while some of these risks are added to portfolio value and have been amply studied, others are multiplicative in nature and have received far less attention. Moreover, the combined effects of multiple risks lead to some seemingly paradoxical choice behavior. We rationalize such behavior and we show how non-portfolio risks might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait-Sahilia and Lo (2000) and Jackwerth (2000).</dcterms:abstract>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dcterms:rights rdf:resource="http://creativecommons.org/licenses/by-nc-nd/2.0/"/>
    <dc:creator>Stapleton, Richard C.</dc:creator>
    <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11962/1/cofe_dp07_11.pdf"/>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Franke, Günter</dc:contributor>
    <dc:contributor>Schlesinger, Harris</dc:contributor>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/11962"/>
    <dc:contributor>Stapleton, Richard C.</dc:contributor>
    <dc:format>application/pdf</dc:format>
    <dcterms:issued>2007</dcterms:issued>
    <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/11962/1/cofe_dp07_11.pdf"/>
  </rdf:Description>
</rdf:RDF>
kops.description.openAccessopenaccessgreen
kops.flag.knbibliographytrue
kops.identifier.nbnurn:nbn:de:bsz:352-opus-116661deu
kops.opus.id11666deu
kops.relation.seriesofconstanceCoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie
relation.isAuthorOfPublication0df7cb13-1498-45e1-940b-f00caf37e899
relation.isAuthorOfPublicationef717325-f3c3-40cc-90e6-81be5751e000
relation.isAuthorOfPublication.latestForDiscovery0df7cb13-1498-45e1-940b-f00caf37e899
relation.isSeriesOfPublication60f65820-b954-492f-b665-1b1a746b9411
relation.isSeriesOfPublication.latestForDiscovery60f65820-b954-492f-b665-1b1a746b9411

Dateien

Originalbündel

Gerade angezeigt 1 - 1 von 1
Vorschaubild nicht verfügbar
Name:
cofe_dp07_11.pdf
Größe:
393.23 KB
Format:
Adobe Portable Document Format
cofe_dp07_11.pdf
cofe_dp07_11.pdfGröße: 393.23 KBDownloads: 427

Sammlungen

Wirtschaftswissenschaften: Publikationen