• Rupture de stock

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

Author :
47,39 €
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


16 autres produits dans la même catégorie :

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


The Paulson Plan: Who Are the Winners?

  • A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities
  • Raising Companies’ Profi le with Corporate Social Performance
  • Does Employee Ownership Really Boost Performance?
  • Islamic Equity Indices: Insight and Comparison with Conventional Counterparts
  • Market microstructure in practice
Bankers, Markets &...
  • Rupture de stock
Availability: Out of stock



  • 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?
This website uses cookies to ensure you get the best experience on our website