Efficient Portfolios when Housing Needs Change over the Life-Cycle

Loriana Pelizzon () and Guglielmo Weber ()

No 2007_31, Working Papers from University of Venice "Ca' Foscari", Department of Economics

Abstract: We address the issue of the efficiency of household portfolios in the presence of housing risk. We treat housing stock as an asset and rents as a stochastic liability stream: over the life-cycle, households can be short or long in their net housing position. Efficient financial portfolios are the sum of a standard Markowitz portfolio and a housing risk hedge term that multiplies net housing wealth. Our empirical results show that net housing plays a key role in determining which household portfolios are inefficient. The largest proportion of inefficient portfolios obtains among those with positive net housing, who should invest more in stocks.

Keywords: Housing and portfolio choice; Portfolio efficiency; Rental risk; Life-cycle. (search for similar items in EconPapers)
JEL-codes: D91 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ure
Date: 2007
View list of references

Downloads: (external link)
http://www.dse.unive.it/fileadmin/templates/dse/wp ... zzon_weber_31_07.pdf (application/pdf)

Related works:
Working Paper: Efficient Portfolios when Housing Needs Change over the Life-Cycle (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ven:wpaper:2007_31

Access Statistics for this paper

More papers in Working Papers from University of Venice "Ca' Foscari", Department of Economics
Contact information at EDIRC.
Series data maintained by Renato Dalla Venezia ().