Why Do Household Portfolio Shares Rise in Wealth?

• 成果类型: Article
• 署名作者: Wachter, Jessica A.; Yogo, Motohiro
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq092
• 发表日期: 2010
• 页码: 3929
• 关键词: LABOR INCOME RISK; Life-cycle model; optimal consumption; empirical-evidence; Expected returns; asset allocation; habit formation; long-run; CHOICE; preferences

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)