Dynamic asset allocation with stochastic income and interest rates

• 成果类型: Article
• 署名作者: Munk, Claus; Sorensen, Carsten
• 署名单位: Aarhus University; Aarhus University; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.01.004
• 发表日期: 2010
• 页码: 433-462
• 关键词: portfolio management; labor income risk; interest rate risk; business cycle; life-cycle

摘要

We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (HID) data supports this relation with substantial variation across individuals in the slope of this affine function. The slope is crucial for the valuation and riskiness of human capital and for the optimal stock/bond/cash allocation both in an unconstrained complete market and in an incomplete market with liquidity and short-sales constraints. (C) 2010 Elsevier B.V. All rights reserved.