Portfolio choice over the life-cycle when the stock and labor markets are cointegrated
Abstract: We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.
File(s): File format is application/pdf http://www.chicagofed.org/digital_assets/publications/working_papers/2007/wp2007_11.pdf
Provider: Federal Reserve Bank of Chicago
Part of Series: Working Paper Series
Publication Date: 2007