Saving rates and portfolio choice with subsistence consumption : [Version January 16, 2010]
- We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively explaining: (i) the higher saving rates of the rich, (ii) the higher fraction of personal wealth held in stocks by the rich, and (iii) the higher volatility of consumption of the wealthier. On the contrary, time-variant "keeping-up with the Joneses" weighted average consumption playing the role of moving benchmark subsistence consumption gives the same portfolio composition and saving rates across the rich and the poor, failing to reconcile the model with what micro data say.
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| Verfasserangaben: | Carolina Achury, Sylwia Hubar, Christos Koulovatianos |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-341063 |
| URL: | https://www.essex.ac.uk/ebs/research/efc/seminar_papers/AKH_Merton_subsistence_May_2010.pdf |
| Dokumentart: | Bericht |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2010 |
| Jahr der Erstveröffentlichung: | 2010 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 22.09.2014 |
| Freies Schlagwort / Tag: | Stone-Geary preferences; controlled diffusion; elasticity of intertemporal substitution; household portfolios; two-asset portfolio; wealth inequality |
| Ausgabe / Heft: | Version January 16, 2010 |
| Seitenzahl: | 35 |
| HeBIS-PPN: | 401591336 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
