Dynamic asset allocation with stochastic income and interest rates

We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (PSID) data supports...

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Veröffentlicht in:	Journal of financial economics 2010-06, Vol.96 (3), p.433-462
Hauptverfasser:	Munk, Claus, Sørensen, Carsten
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation Business cycle Business cycles Calibration Financial engineering Interest rate risk Interest rates Labor income risk Life cycles Life-cycle Portfolio management Portfolio management Labor income risk Interest rate risk Business cycle Life-cycle Risk management Stochastic models Studies
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