Modelling the composition of personal sector wealth in the UK

David Blake

Applied Financial Economics, 2004, vol. 14, issue 9, 611-630

Abstract: The allocation of UK personal sector wealth across five broad asset categories (net financial wealth, housing (and durable assets) wealth, state pension wealth, private pension wealth, and human capital) is investigated using the FAIDS (financial AIDS) model. Apart from total wealth and returns, additional variables relating to capital market imperfections, and demographic, labour market and cross-sector spillover effects turn out to be significant. The adjustment of portfolio weights to shocks is very slow, taking up to 21 years for some asset categories.

Date: 2004
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DOI: 10.1080/0960310042000233395

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