Portfolio Choice in the Presence of Background Risk

By J. Heaton, Deborah J. Lucas. 2000

599 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0aa55bf5f878ed04e0882f35a2b55e819268b472

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Citations in the corpus

Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints (2005, unknown): “Second, we quantitatively assess the utility cost and biases in portfolio choices when the investor follows an alternative suboptimal policy of either (1) acquiring housing services only from renting, as implicitly assumed in most existing studies on portfolio choices such as Heaton and Lucas (2000”
Portfolio Choice in the Presence of Housing (2005, unknown): “…reduce the level of stock holdings because the income from businesses is more volatile and more correlated with stock returns than labor income (Heaton and Lucas, 2000, Polkovnichenko, 1999), and the portfolios of entrepreneurial households are very undiversi…ed (Hubbard and Gentry, 2000,…”
Preferences with frames: A new utility specification that allows for the framing of risks (2009, unknown): “(Mankiw and Zeldes, 1991; Haliassos and Bertaut, 1995; Heaton and Lucas, 2000).”
Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing (2006, unknown): “Heaton and Lucas (2000) report correlations between stock market risk and three major kinds of preexisting risk—labor income , proprietary income, and real estate— of Ϫ0.”
Consumption and Portfolio Choice over the Life Cycle (2005, background): “4 See Heaton and Lucas (2000b) for a survey of the literature.”
Hedging, Familiarity and Portfolio Choice (2006, unknown): “Following the standard approach, we specify investors’ portfolio policies in terms of their permanent income, that is, the conditional moments of the long-term income as in Heaton and Lucas (2000).”
Portfolio Choice and Liquidity Constraints (2000, unknown): “xt+1 = [b(xt)Rf + s(xt) e Rt+1] Pt Pt+1 + Ut+1 (32)”
Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status (2010, unknown): “This is qualitatively consistent with the empirical evidence in Heaton and Lucas (2000b) that income streams from proprietary businesses are positively correlated with the stock market return.”
How Does Household Portfolio Diversification Vary with Financial Literacy and Financial Advice (2011, unknown): “Popular explanations include transaction costs (Vissing-Jørgensen, 2002), background risk (Heaton and Lucas, 2000), or behavioural economic theories (Barberis et al.”
Investment, Idiosyncratic Risk, and Ownership (2011, unknown): “…with most of their wealth invested in the single firm they own, and that therefore the degree of entrepreneurial risk aversion is crucial for the entrepreneurial investment decision [Heaton and Lucas, 2000b; Heaton and Lucas, 2000a; Vissing-Jørgensen, 2002; Moskowitz and Vissing-Jørgensen, 2002].”
Health Risk and Portfolio Choice (2008, background): “Researchers typically make assumptions about the preference parameters (Hubbard et al. 1994; Picone et al. 1998; Heaton and Lucas 2000b).”
Heterogeneity and Portfolio Choice: Theory and Evidence (2004, methodology): “Heaton and Lucas (2000a) show that a background risk process that reflects proprietary business income, in combination with somewhat higher risk aversion than assumed in their earlier analysis, is sufficient to generate considerable variation in predicted portfolio shares, although it does not…”
Risk Preferences and Environmental Uncertainty: Implications for Crop Diversification Decisions in Ethiopia (2012, background): “Finally, Heaton and Lucas (2000) show that the presence of background risks dictates differences in portfolio holdings in terms of stocks versus safe securities.”