Predictors and Portfolios Over the Life Cycle
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Datum
2018-06-08
Autor
Kraft, Holger
Munk, Claus
Weiss, Farina
SAFE No.
139
Metadata
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Zusammenfassung
In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we evaluate the welfare effects of predictability on life-cycle consumption-portfolio choice. We compare skilled investors who are able to take advantage of all sources of predictability with unskilled investors ignoring predictability. For an unskilled investor the certainty equivalent of wealth is 0.3-6.8% lower than for a skilled investor, depending on the market entry date. We also determine the effect of luck to enter the market at a favorable time. Across market entry dates, skilled but unlucky investors can lose up to 15.4% compared to unskilled but lucky investors.
Forschungsbereich
Household Finance
Schlagworte
return predictability, scenarios, welfare, performance, housing
JEL-Klassifizierung
G11, D91, D14
Forschungsdaten
Thema
Saving and Borrowing
Consumption
Monetary Policy
Consumption
Monetary Policy
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]