Portfolio rebalancing in general equilibrium

• 成果类型: Article
• 署名作者: Kimball, Miles S.; Shapiro, Matthew D.; Shumway, Tyler; Zhang, Jing
• 署名单位: University of Colorado System; University of Colorado Boulder; University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.08.007
• 发表日期: 2020
• 页码: 816-834
• 关键词: Household finance; portfolio choice; Heterogeneity in risk tolerance and age

摘要

This paper develops an overlapping generations model of optimal rebalancing where agents differ in age and risk tolerance. Equilibrium rebalancing is driven by a leverage effect that influences levered and unlevered agents in opposite directions, an aggregate risk tolerance effect that depends on the distribution of wealth, and an intertemporal hedging effect. After a negative macroeconomic shock, relatively risk-tolerant investors sell risky assets, while more risk-averse investors buy them. Owing to interactions of leverage and changing wealth, however, all agents have higher exposure to aggregate risk after a negative macroeconomic shock and lower exposure after a positive shock. (C) 2019 Published by Elsevier B.V.