Life-cycle portfolio choice with liquid and illiquid financial assets

• 成果类型: Article
• 署名作者: Campanale, Claudio; Fugazza, Carolina; Gomes, Francisco
• 署名单位: Universitat d'Alacant; University of Turin; University of London; London Business School
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.11.008
• 发表日期: 2015
• 页码: 67-83
• 关键词: Household portfolio choice; self-insurance; Cash-in-advance; Transaction cost

摘要

Traditionally, quantitative models that have studied households' portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macroliterature. We show that when these costs are calibrated to match the observed infrequency of households' trading, the model is able to generate patterns of portfolio stock allocation over age and wealth that are constant or moderately increasing, thus more in line with the existing empirical evidence. (C) 2014 Elsevier B.V. All rights reserved.