TY  - UNPD
A1  - Hubar, Sylwia
A1  - Koulovatianos, Christos
A1  - Li, Jian
T1  - Fitting parsimonious household-portfolio models to data
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 489
N2  - 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.
T3  - CFS working paper series - 489 
KW  - Epstein-Zin-Weil recursive preferences
KW  - subsistence consumption
KW  - household-portfolio shares
KW  - business equity
KW  - wealth inequality
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34371
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-343710
UR  - http://ssrn.com/abstract=2523360
IS  - November 11, 2014
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -