MODELS FOR HOUSEHOLD PORTFOLIOS AND LIFE-CYCLE ALLOCATIONS IN THE PRESENCE OF LABOUR INCOME AND LONGEVITY RISK

Costanza Torricelli

Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) from Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi"

Abstract: Campbell (2006) stressed the two main challenges of household finance: empirical analyses that highlight how households do invest (i.e. positive household finance) have important measurement problems, while suggestions about how investments should be made (i.e. normative household finance) encounter modelling problems. In this latter connection the final aim of this paper is to highlight the modelling requirements necessary to analyse the impact of household-specific risks on their portfolios, with special focus on the financial segment. To this end, after an overview of household portfolio theory, special emphasis is given to models incorporating two increasingly more important risks for the household: labour income and longevity risks. The paper concludes with some research directions.

Keywords: household financial portfolios; life-cycle consumption and saving; labour income risk; longevity risks; annuities (search for similar items in EconPapers)
JEL-codes: D1 D91 G11 J11 J31 (search for similar items in EconPapers)
Pages: pages 22
Date: 2009-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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