• Rupture de stock

Mass Customization in Life-Cycle Investing Strategies with Income Risk [extrait BMI 139]

Author :
47,39 €
Quantité
Add to wishlist
Rupture de stock

Version numérique PDF

Formal intertemporal portfolio selection models show that the utilitymaximizing strategy for an individual investor depends on a number of subjective characteristics such as the investor?s horizon, risk aversion and non-financial income, in addition to depending on market conditions. These insights are vastly ignored by current forms of target date fund products, which most often propose a deterministic decrease in the equity allocation regardless of market conditions, and ignore the question of labor income risk. This paper shows that, in spite of a high degree of heterogeneity in individual investors? income streams, grouping investors with similar income profiles, and implementing a unique investment strategy for all members of a given class, involves only a limited welfare cost with respect to an idealized fully customized strategy. Our results also suggest that these strategies consistent with mass-customization constraints strongly dominate allocation strategies that completely ignore the presence of income risk.JEL Code: G11.Keywords: Human Capital; Income Risk; Optimal Portfolio.

Auteurs :Deguest Romain
Extrait de la revue BMI 139

BMI139-1124670
Nouveau

16 autres produits dans la même catégorie :

Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire

Articles

  • Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions?
  • Estimation Risk versus Optimality Risk:
  • The Trading Performance of Individual Investors
  • Cash Holdings, Working Capital and Firm Value:
Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire

Articles

  • What Maximum Fees Should Investors Pay to Active Fund Managers?
  • How does the Market Price of the Corporate Sponsor React to Socially Responsible Fund Introductions?
  • Pricing, Hedging and Assessing Risk in a General Lévy Context
  • The Performance Implications of Business Group Affi liation for Small Businesses

  • Introducing to Risk Parity and Budgeting
Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire

Articles

  • Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis
  • Evaluating UCITS Compliant Hedge Fund Performance
  • Do Cooperative Banks Have Greater Market Power?
  • In which Media are Analysts’ Recommendations most Followed?
Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock

Sommaire

Articles

  • Editor’s letter
  • HFT and Market Quality
  • On the Financial Performance of Socially Responsible Investments
  • Pension Reform in The Netherlands: Attractive Options for other Countries?
  • French Pensions Framework in an International Perspective
  • Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
  • Asset Class Liquidity Risk
This website uses cookies to ensure you get the best experience on our website