Portfolio choice with sustainable spending: A model of reaching for yield

• 成果类型: Article
• 署名作者: Campbell, John Y.; Sigalov, Roman
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.018
• 发表日期: 2022
• 页码: 188-206
• 关键词: Reaching for yield; endowments; Sustainable spending; portfolio choice

摘要

We show that reaching for yield-a tendency to take more risk when the real interest rate declines while the risk premium remains constant-results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is initially low, reaching for yield intensifies. The sustainable spend-ing constraint also affects the response of risk-taking to a change in the risk premium, which can even change sign. In a variant of the model where the sustainable spending constraint is formulated in nominal terms, low inflation also encourages risk-taking. (c) 2021 Elsevier B.V. All rights reserved.