Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.

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Bibliographic Details
Published inIDEAS Working Paper Series from RePEc
Main Authors Benzoni, Luca, Collin-Dufresne, Pierre, Goldstein, Robert S
Format Paper
LanguageEnglish
Published St. Louis Federal Reserve Bank of St. Louis 01.01.2007
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Summary:We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.