Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

Luca Benzoni, Pierre Collin-Dufresne and Robert S. Goldstein ()
Additional contact information
Robert S. Goldstein: https://carlsonschool.umn.edu/faculty/robert-goldstein

No WP-07-11, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.

Keywords: Portfolio management; Stock market; Labor market (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (196)

Downloads: (external link)
http://www.chicagofed.org/digital_assets/publicati ... s/2007/wp2007_11.pdf (application/pdf)

Related works:
Journal Article: Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated (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: https://EconPapers.repec.org/RePEc:fip:fedhwp:wp-07-11

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Paper Series from Federal Reserve Bank of Chicago Contact information at EDIRC.
Bibliographic data for series maintained by Lauren Wiese ().