{"title":"生命周期投资与个人灾害风险","authors":"F. Bagliano, C. Fugazza, G. Nicodano","doi":"10.2139/ssrn.3710543","DOIUrl":null,"url":null,"abstract":"This paper extends the life-cycle model by allowing for a small risk of a personal disaster with permanent effects on labour income. We calibrate the model to long-term unemployment (LTU) in the US, where it is only partially insured and is known to entail scarring effects. Despite its low probability, such risk boosts early investment in the risk-free asset. Consequently, the optimal equity portfolio share is relatively flat over the life cycle, consistent with observed investment profiles. A negligible probability of LTU or full insurance against it result in both higher optimal risk taking and equity profiles that are downward sloping in age.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"134 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Life-cycle Investing with Personal Disaster Risk\",\"authors\":\"F. Bagliano, C. Fugazza, G. Nicodano\",\"doi\":\"10.2139/ssrn.3710543\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper extends the life-cycle model by allowing for a small risk of a personal disaster with permanent effects on labour income. We calibrate the model to long-term unemployment (LTU) in the US, where it is only partially insured and is known to entail scarring effects. Despite its low probability, such risk boosts early investment in the risk-free asset. Consequently, the optimal equity portfolio share is relatively flat over the life cycle, consistent with observed investment profiles. A negligible probability of LTU or full insurance against it result in both higher optimal risk taking and equity profiles that are downward sloping in age.\",\"PeriodicalId\":377322,\"journal\":{\"name\":\"Investments eJournal\",\"volume\":\"134 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-10-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Investments eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3710543\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investments eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3710543","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper extends the life-cycle model by allowing for a small risk of a personal disaster with permanent effects on labour income. We calibrate the model to long-term unemployment (LTU) in the US, where it is only partially insured and is known to entail scarring effects. Despite its low probability, such risk boosts early investment in the risk-free asset. Consequently, the optimal equity portfolio share is relatively flat over the life cycle, consistent with observed investment profiles. A negligible probability of LTU or full insurance against it result in both higher optimal risk taking and equity profiles that are downward sloping in age.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
