메뉴 건너뛰기




Volumn 33, Issue 11, 2009, Pages 2110-2121

Efficient portfolios when housing needs change over the life cycle

Author keywords

Housing and portfolio choice; Life cycle; Portfolio efficiency; Rental risk

Indexed keywords


EID: 70249114758     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.05.002     Document Type: Article
Times cited : (34)

References (40)
  • 4
    • 43049177937 scopus 로고    scopus 로고
    • Optimal delegated portfolio management with background risk
    • Baptista A.M. Optimal delegated portfolio management with background risk. Journal of Banking and Finance 32 (2008) 977-985
    • (2008) Journal of Banking and Finance , vol.32 , pp. 977-985
    • Baptista, A.M.1
  • 5
    • 0039179796 scopus 로고    scopus 로고
    • Investing for the long run when returns are predictable
    • Barberis N. Investing for the long run when returns are predictable. Journal of Finance 55 (2000) 225-264
    • (2000) Journal of Finance , vol.55 , pp. 225-264
    • Barberis, N.1
  • 6
    • 70249128041 scopus 로고    scopus 로고
    • Biancotti, C., D'Alessio, G., Faiella, I., Neri, A., 2004. Italian household budgets in 2002. Supplements to Statistical Bulletin, Methodological Notes and Statistical Information 14(12), Bank of Italy, Rome.
    • Biancotti, C., D'Alessio, G., Faiella, I., Neri, A., 2004. Italian household budgets in 2002. Supplements to Statistical Bulletin, Methodological Notes and Statistical Information 14(12), Bank of Italy, Rome.
  • 10
    • 34247278554 scopus 로고    scopus 로고
    • Strategic asset allocation for pension plans
    • Munnell A., and Orszag M. (Eds), Oxford University Press, Oxford
    • Campbell J.Y., and Viceira L.M. Strategic asset allocation for pension plans. In: Munnell A., and Orszag M. (Eds). Oxford Handbook of Pensions and Retirement Income (2005), Oxford University Press, Oxford
    • (2005) Oxford Handbook of Pensions and Retirement Income
    • Campbell, J.Y.1    Viceira, L.M.2
  • 12
    • 25844509862 scopus 로고    scopus 로고
    • Portfolio choice in the presence of housing
    • Cocco J. Portfolio choice in the presence of housing. Review of Financial Studies 18 (2005) 535-567
    • (2005) Review of Financial Studies , vol.18 , pp. 535-567
    • Cocco, J.1
  • 13
    • 0038712488 scopus 로고    scopus 로고
    • Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
    • Damgaard A., Fuglsbjerg B., and Munk C. Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good. Journal of Economic Dynamics and Control 28 (2003) 209-253
    • (2003) Journal of Economic Dynamics and Control , vol.28 , pp. 209-253
    • Damgaard, A.1    Fuglsbjerg, B.2    Munk, C.3
  • 16
    • 0007271839 scopus 로고
    • Optimal investment strategies with investor liabilities
    • Elton E.J., and Gruber M.J. Optimal investment strategies with investor liabilities. Journal of Banking and Finance 16 (1992) 869-890
    • (1992) Journal of Banking and Finance , vol.16 , pp. 869-890
    • Elton, E.J.1    Gruber, M.J.2
  • 17
    • 41849109538 scopus 로고    scopus 로고
    • A model of housing in the presence of adjustment costs: a structural interpretation of habit persistence
    • Flavin M., and Nakagawa S. A model of housing in the presence of adjustment costs: a structural interpretation of habit persistence. American Economic Review 98 (2008) 474-495
    • (2008) American Economic Review , vol.98 , pp. 474-495
    • Flavin, M.1    Nakagawa, S.2
  • 18
    • 0038605950 scopus 로고    scopus 로고
    • Owner-occupied housing and the composition of the household portfolio over the life cycle
    • Flavin M., and Yamashita T. Owner-occupied housing and the composition of the household portfolio over the life cycle. American Economic Review 92 (2002) 345-362
    • (2002) American Economic Review , vol.92 , pp. 345-362
    • Flavin, M.1    Yamashita, T.2
  • 21
    • 0001969053 scopus 로고
    • Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods
    • Grossman S.J., and Laroque G. Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods. Econometrica 58 (1990) 25-51
    • (1990) Econometrica , vol.58 , pp. 25-51
    • Grossman, S.J.1    Laroque, G.2
  • 25
    • 0005495431 scopus 로고    scopus 로고
    • Portfolio choice and asset prices: the importance of entrepreneurial risk
    • Heaton J., and Lucas D. Portfolio choice and asset prices: the importance of entrepreneurial risk. Journal of Finance 55 (2000) 1163-1198
    • (2000) Journal of Finance , vol.55 , pp. 1163-1198
    • Heaton, J.1    Lucas, D.2
  • 26
    • 0000662045 scopus 로고
    • International portfolio diversification with estimation risk
    • Jorion P. International portfolio diversification with estimation risk. Journal of Business 58 (1985) 257-278
    • (1985) Journal of Business , vol.58 , pp. 257-278
    • Jorion, P.1
  • 27
    • 33846642132 scopus 로고    scopus 로고
    • Home sweet home: home bias and international diversification among individual investors
    • Karlsson A., and Nordén L. Home sweet home: home bias and international diversification among individual investors. Journal of Banking and Finance 31 (2007) 317-333
    • (2007) Journal of Banking and Finance , vol.31 , pp. 317-333
    • Karlsson, A.1    Nordén, L.2
  • 28
  • 29
    • 0013312230 scopus 로고
    • Nonmarketable assets and the determination of capital asset prices in the absence of riskless asset
    • Mayers D. Nonmarketable assets and the determination of capital asset prices in the absence of riskless asset. Journal of Business 46 (1973) 258-267
    • (1973) Journal of Business , vol.46 , pp. 258-267
    • Mayers, D.1
  • 30
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: the continuous-time case
    • Merton R.C. Lifetime portfolio selection under uncertainty: the continuous-time case. Review of Economics and Statistics 51 (1969) 247-257
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.C.1
  • 31
    • 85025724501 scopus 로고
    • On estimating the expected excess return on the market
    • Merton R.C. On estimating the expected excess return on the market. Journal of Financial Economics 8 (1980) 323-361
    • (1980) Journal of Financial Economics , vol.8 , pp. 323-361
    • Merton, R.C.1
  • 34
    • 46849089913 scopus 로고    scopus 로고
    • Are household portfolios efficient? An analysis conditional on housing
    • Pelizzon L., and Weber G. Are household portfolios efficient? An analysis conditional on housing. Journal of Financial and Quantitative Analysis 43 (2008) 401-432
    • (2008) Journal of Financial and Quantitative Analysis , vol.43 , pp. 401-432
    • Pelizzon, L.1    Weber, G.2
  • 38
  • 39
    • 84963108002 scopus 로고
    • Liquidity preference as behavior towards risk
    • Tobin J. Liquidity preference as behavior towards risk. Review of Economic Studies 25 (1958) 65-87
    • (1958) Review of Economic Studies , vol.25 , pp. 65-87
    • Tobin, J.1
  • 40
    • 12344264177 scopus 로고    scopus 로고
    • Optimal consumption and portfolio choices with risky housing and borrowing constraints
    • Yao R., and Zhang H.H. Optimal consumption and portfolio choices with risky housing and borrowing constraints. Review of Financial Studies 18 (2005) 197-239
    • (2005) Review of Financial Studies , vol.18 , pp. 197-239
    • Yao, R.1    Zhang, H.H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.