Fitting parsimonious household-portfolio models to data

US data and new stockholding data from fifteen European countries and China exhibit a common pattern: stockholding shares increase in household income and wealth. Yet, there is a multitude of numbers to match through mod
US data and new stockholding data from fifteen European countries and China exhibit a common pattern: stockholding shares increase in household income and wealth. Yet, there is a multitude of numbers to match through models. Using a single utility function across households (parsimony), we suggest a strategy for fitting stockholding numbers, while replicating that saving rates increase in wealth, too. The key is introducing subsistence consumption to an Epstein-Zin-Weil utility function, creating endogenous risk-aversion differences across rich and poor. A closed-form solution for the model with insurable labor-income risk serves as calibration guide for numerical simulations with uninsurable labor-income risk.
show moreshow less

Download full text files

Export metadata

  • Export Bibtex
  • Export RIS

Additional Services

    Share in Twitter Search Google Scholar
Metadaten
Author:Sylwia Hubar, Christos Koulovatianos, Jian Li
URN:urn:nbn:de:hebis:30:3-343710
URL:http://ssrn.com/abstract=2523360
DOI:http://dx.doi.org/10.2139/ssrn.2523360
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 489
Series (Serial Number):CFS working paper series (489)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2014
Year of first Publication:2014
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2014/11/25
Tag:Epstein-Zin-Weil recursive preferences; business equity; household-portfolio shares; subsistence consumption; wealth inequality
Issue:November 11, 2014
Pagenumber:101
HeBIS PPN:351114211
Institutes:Wirtschaftswissenschaften
Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:D11 Consumer Economics: Theory
D14 Personal Finance
D81 Criteria for Decision-Making under Risk and Uncertainty
D91 Intertemporal Consumer Choice; Life Cycle Models and Saving
E21 Consumption; Saving; Wealth
G11 Portfolio Choice; Investment Decisions
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

$Rev: 11761 $