메뉴 건너뛰기




Volumn 14, Issue 2, 2011, Pages 339-367

Learning, ambiguity and life-cycle portfolio allocation

Author keywords

Ambiguity; Learning; Life cycle; Portfolio choice

Indexed keywords


EID: 79952192876     PISSN: 10942025     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.red.2009.09.002     Document Type: Article
Times cited : (22)

References (46)
  • 1
    • 79952188456 scopus 로고    scopus 로고
    • Ameriks, John, Zeldes, Stephen, How do household portfolio shares vary with age. Working paper.
    • Ameriks, John, Zeldes, Stephen, 2004. How do household portfolio shares vary with age. Working paper.
    • (2004)
  • 2
    • 34250782431 scopus 로고    scopus 로고
    • Portfolio choice over the life-cycle when the stock and the labor market are cointegrated
    • Benzoni Luca, Collin-Dufresne Pierre, Goldstein Robert S. Portfolio choice over the life-cycle when the stock and the labor market are cointegrated. Journal of Finance 2007, 62:2123-2167.
    • (2007) Journal of Finance , vol.62 , pp. 2123-2167
    • Benzoni, L.1    Collin-Dufresne, P.2    Goldstein, R.S.3
  • 3
    • 79952194189 scopus 로고    scopus 로고
    • Starr-McCluer, Martha, Household portfolios in the United States. Federal Reserve Board of Governors, Finance and Economics Discussion Paper, 26 (April).
    • Bertaut, Carol C., Starr-McCluer, Martha, 2000. Household portfolios in the United States. Federal Reserve Board of Governors, Finance and Economics Discussion Paper, 26 (April).
    • (2000)
    • Bertaut, C.C.1
  • 6
    • 38949188939 scopus 로고    scopus 로고
    • Down or out: Assessing the welfare costs of household investment mistakes
    • Calvet Laurent E., Campbell John Y., Sodini Paolo Down or out: Assessing the welfare costs of household investment mistakes. Journal of Political Economy 2007, 115(5):707-747.
    • (2007) Journal of Political Economy , vol.115 , Issue.5 , pp. 707-747
    • Calvet, L.E.1    Campbell, J.Y.2    Sodini, P.3
  • 7
    • 0011829727 scopus 로고    scopus 로고
    • Investing retirement wealth? A life-cycle model
    • University of Chicago Press, Chicago, IL, M. Feldstein, J.Y. Campbell (Eds.)
    • Campbell John Y., Cocco Joao, Gomes Francisco, Maenhout Pascal Investing retirement wealth? A life-cycle model. Risk Aspects of Investment-Based Social Security Reform 2001, University of Chicago Press, Chicago, IL. M. Feldstein, J.Y. Campbell (Eds.).
    • (2001) Risk Aspects of Investment-Based Social Security Reform
    • Campbell, J.Y.1    Cocco, J.2    Gomes, F.3    Maenhout, P.4
  • 8
    • 27544452916 scopus 로고    scopus 로고
    • Model uncertainty, limited asset market participation, and asset prices
    • Cao Henry H., Wang Tan, Zhang Harold H. Model uncertainty, limited asset market participation, and asset prices. Review of Financial Studies 2005, 18(4):1219-1251.
    • (2005) Review of Financial Studies , vol.18 , Issue.4 , pp. 1219-1251
    • Cao, H.H.1    Wang, T.2    Zhang, H.H.3
  • 9
    • 0000013018 scopus 로고    scopus 로고
    • Asset pricing with distorted beliefs: Are equity returns too good to be true?
    • Cecchetti Stephen G., Lam Pok-Sang, Mark Nelson C. Asset pricing with distorted beliefs: Are equity returns too good to be true?. American Economic Review 2000, 90:787-805.
    • (2000) American Economic Review , vol.90 , pp. 787-805
    • Cecchetti, S.G.1    Lam, P.-S.2    Mark, N.C.3
  • 11
    • 79952194950 scopus 로고    scopus 로고
    • Where is the market going: Uncertain facts and novel theories. Working paper 6207, NBER, Cambridge, MA.
    • Cochrane, John. H., 1997. Where is the market going: Uncertain facts and novel theories. Working paper 6207, NBER, Cambridge, MA.
    • (1997)
    • Cochrane, J.H.1
  • 12
    • 79952187127 scopus 로고    scopus 로고
    • Curcuru, Stephanie, Heaton, John, Lucas, Deborah, Moore, DamienHeterogeneity and portfolio choice: Theory and evidence. Working paper.
    • Curcuru, Stephanie, Heaton, John, Lucas, Deborah, Moore, Damien, 2004. Heterogeneity and portfolio choice: Theory and evidence. Working paper.
    • (2004)
  • 14
    • 79952185376 scopus 로고    scopus 로고
    • Schneider, Martin, Learning under ambiguity. Working paper.
    • Epstein, Larry G., Schneider, Martin, 2005. Learning under ambiguity. Working paper.
    • (2005)
    • Epstein, L.G.1
  • 15
    • 0000206041 scopus 로고
    • Intertemporal asset pricing under knightian uncertainty
    • Epstein Larry G., Wang Tan Intertemporal asset pricing under knightian uncertainty. Econometrica 1994, 62(3):283-322.
    • (1994) Econometrica , vol.62 , Issue.3 , pp. 283-322
    • Epstein, L.G.1    Wang, T.2
  • 16
    • 21844491157 scopus 로고
    • Ambiguity aversion and comparative ignorance
    • Fox Craig R., Tversky Amos Ambiguity aversion and comparative ignorance. Quarterly Journal of Economics 1995, 100(3):585-603.
    • (1995) Quarterly Journal of Economics , vol.100 , Issue.3 , pp. 585-603
    • Fox, C.R.1    Tversky, A.2
  • 17
    • 33845716601 scopus 로고    scopus 로고
    • Portfolio selection with parameter uncertainty: A multi-prior approach
    • Garlappi Lorenzo, Uppal Raman, Wang Tan Portfolio selection with parameter uncertainty: A multi-prior approach. Review of Financial Studies 2006, 20:41-81.
    • (2006) Review of Financial Studies , vol.20 , pp. 41-81
    • Garlappi, L.1    Uppal, R.2    Wang, T.3
  • 19
    • 16244407145 scopus 로고    scopus 로고
    • Optimal life-cycle asset allocation: Understanding the empirical evidence
    • Gomes Francisco, Michaelides Alexander Optimal life-cycle asset allocation: Understanding the empirical evidence. The Journal of Finance 2005, 60(2):869-904.
    • (2005) The Journal of Finance , vol.60 , Issue.2 , pp. 869-904
    • Gomes, F.1    Michaelides, A.2
  • 20
    • 0004203014 scopus 로고    scopus 로고
    • MIT Press, Cambridge, L. Guiso, M. Haliassos, T. Jappelli (Eds.)
    • Household Portfolios 2001, MIT Press, Cambridge. L. Guiso, M. Haliassos, T. Jappelli (Eds.).
    • (2001) Household Portfolios
  • 21
  • 22
    • 84986409625 scopus 로고
    • The cyclical and secular behaviour of the labour input: Comparing efficiency units and hours worked
    • Hansen Gary D. The cyclical and secular behaviour of the labour input: Comparing efficiency units and hours worked. Journal of Applied Econometrics 1993, 8(1):71-80.
    • (1993) Journal of Applied Econometrics , vol.8 , Issue.1 , pp. 71-80
    • Hansen, G.D.1
  • 23
    • 0031350833 scopus 로고    scopus 로고
    • Market frictions, savings behavior, and portfolio choice
    • Heaton John, Lucas Deborah Market frictions, savings behavior, and portfolio choice. Macroeconomic Dynamics 1997, 1:76-101.
    • (1997) Macroeconomic Dynamics , vol.1 , pp. 76-101
    • Heaton, J.1    Lucas, D.2
  • 24
    • 0001927927 scopus 로고    scopus 로고
    • Portfolio choice in the presence of background risk
    • Heaton John, Lucas Deborah Portfolio choice in the presence of background risk. Economic Journal 2000, 110:1-26.
    • (2000) Economic Journal , vol.110 , pp. 1-26
    • Heaton, J.1    Lucas, D.2
  • 26
    • 0009437270 scopus 로고    scopus 로고
    • Global stock markets in the twentieth century
    • Jorion Philippe, Goetzmann William N. Global stock markets in the twentieth century. Journal of Finance 1999, 54(3):953-980.
    • (1999) Journal of Finance , vol.54 , Issue.3 , pp. 953-980
    • Jorion, P.1    Goetzmann, W.N.2
  • 27
    • 79952184514 scopus 로고    scopus 로고
    • Ju, Nengjiu, Miao, Jianjun, Ambiguity, learning and asset returns. Working paper.
    • Ju, Nengjiu, Miao, Jianjun, 2007. Ambiguity, learning and asset returns. Working paper.
    • (2007)
  • 28
    • 79952191156 scopus 로고    scopus 로고
    • Klibanoff, Peter, Marinacci, Massimo, Mukerji, Sujoy, Recursive smooth ambiguity preferences. Working paper.
    • Klibanoff, Peter, Marinacci, Massimo, Mukerji, Sujoy, 2006. Recursive smooth ambiguity preferences. Working paper.
    • (2006)
  • 29
    • 57349088787 scopus 로고    scopus 로고
    • Learning and asset prices under ambiguous information
    • Leippold Markus, Trojani Fabio, Vanini Paolo Learning and asset prices under ambiguous information. Review of Financial Studies 2008, 21(6):2565-2597.
    • (2008) Review of Financial Studies , vol.21 , Issue.6 , pp. 2565-2597
    • Leippold, M.1    Trojani, F.2    Vanini, P.3
  • 30
    • 0042575713 scopus 로고    scopus 로고
    • Inspecting the mechanism: Closed-form solutions for asset prices in real business cycle models
    • July
    • Lettau Martin Inspecting the mechanism: Closed-form solutions for asset prices in real business cycle models. The Economic Journal 2003, 113(July):550-575.
    • (2003) The Economic Journal , vol.113 , pp. 550-575
    • Lettau, M.1
  • 31
    • 37649007104 scopus 로고    scopus 로고
    • Financial literacy and retirement preparedness: Evidence and implications for financial education
    • Lusardi Annamaria, Mitchell Olivia S. Financial literacy and retirement preparedness: Evidence and implications for financial education. Business Economics (January) 2007, 35-44.
    • (2007) Business Economics (January) , pp. 35-44
    • Lusardi, A.1    Mitchell, O.S.2
  • 32
    • 79952188386 scopus 로고    scopus 로고
    • Tan, Sinan, Labor income dynamics at business cycle frequencies: Implications for portfolio choice. Working paper.
    • Lynch, Anthony W., Tan, Sinan, 2009. Labor income dynamics at business cycle frequencies: Implications for portfolio choice. Working paper.
    • (2009)
    • Lynch, A.W.1
  • 33
    • 3042618455 scopus 로고    scopus 로고
    • Robust portfolio rules and asset pricing
    • Maenhout Pascal Robust portfolio rules and asset pricing. Review of Financial Studies 2004, 17(4):951-983.
    • (2004) Review of Financial Studies , vol.17 , Issue.4 , pp. 951-983
    • Maenhout, P.1
  • 34
    • 79952193821 scopus 로고    scopus 로고
    • Malmendier, Ulrike, Nagel, Stefan, 2009. Learning from inflation experience. Working paper.
    • Malmendier, Ulrike, Nagel, Stefan, 2009. Learning from inflation experience. Working paper.
  • 37
    • 79952196044 scopus 로고    scopus 로고
    • Paiella, Monica, Limited financial market participation: A transaction-cost based explanation. The Institute for Fiscal Studies, WP 01/06.
    • Paiella, Monica, 2001. Limited financial market participation: A transaction-cost based explanation. The Institute for Fiscal Studies, WP 01/06.
    • (2001)
  • 39
    • 33750828079 scopus 로고    scopus 로고
    • Inattentive consumers
    • Reis Ricardo Inattentive consumers. Journal of Monetary Economics 2006, 53(8):1761-1800.
    • (2006) Journal of Monetary Economics , vol.53 , Issue.8 , pp. 1761-1800
    • Reis, R.1
  • 40
    • 0002388457 scopus 로고
    • The equity premium: Stock and bond returns since 1802
    • Siegel Jeremy J. The equity premium: Stock and bond returns since 1802. Financial Analyst Journal 1992, 48(1):28-38.
    • (1992) Financial Analyst Journal , vol.48 , Issue.1 , pp. 28-38
    • Siegel, J.J.1
  • 41
    • 79952187058 scopus 로고    scopus 로고
    • Rational inattention: A research agenda. Working paper.
    • Sims, Christopher A., 2006. Rational inattention: A research agenda. Working paper.
    • (2006)
    • Sims, C.A.1
  • 42
    • 38249044049 scopus 로고
    • Finite state Markov-chain approximations to univariate and vector autoregressions
    • Tauchen George Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 1986, 20:177-181.
    • (1986) Economics Letters , vol.20 , pp. 177-181
    • Tauchen, G.1
  • 43
    • 79952190343 scopus 로고    scopus 로고
    • Vissing-Jørgensen, Annette, Towards an explanation of household portfolio choice heterogeneity: Nonfinancial income and participation cost structures. Working paper 8884, NBER, Cambridge, MA.
    • Vissing-Jørgensen, Annette, 2002. Towards an explanation of household portfolio choice heterogeneity: Nonfinancial income and participation cost structures. Working paper 8884, NBER, Cambridge, MA.
    • (2002)
  • 44
    • 21244486622 scopus 로고    scopus 로고
    • Perspectives on behavioral finance: Does "Irrationality" disappears with wealth? Evidence from expectations and actions
    • MIT Press, Cambridge, MA
    • Vissing-Jørgensen A. Perspectives on behavioral finance: Does "Irrationality" disappears with wealth? Evidence from expectations and actions. NBER Macroeconomics Annual 2003, MIT Press, Cambridge, MA.
    • (2003) NBER Macroeconomics Annual
    • Vissing-Jørgensen, A.1
  • 45
    • 79952187379 scopus 로고    scopus 로고
    • Yogo, Motohiro, Why do household portfolio shares rise in wealth. Working paper.
    • Wachter, Jessica A., Yogo, Motohiro, 2009. Why do household portfolio shares rise in wealth. Working paper.
    • (2009)
    • Wachter, J.A.1
  • 46
    • 0039621123 scopus 로고    scopus 로고
    • Views of financial economists on the equity premium and on professional controversies
    • Welch Ivo Views of financial economists on the equity premium and on professional controversies. The Journal of Business 2000, 73(4):501-537.
    • (2000) The Journal of Business , vol.73 , Issue.4 , pp. 501-537
    • Welch, I.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.