Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income

By Luis M. Viceira. 2001

801 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6077dd48d88f9371d5a3473d71cbbae40336c9cb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Strategic IPOs and product market competition (2011, background): “…to undiversi able (e.g., labor) income shocks hedge by changing the weights on the market portfolio and the risk-free asset without altering the composition of the risky portfolio, is common in the portfolio allocation literature (e.g., Heaton and Lucas (1997) and Viceira (2001) among others).”
Hedging, Familiarity and Portfolio Choice (2006, unknown): “Models may rely on the standard intertemporal Merton (1971) framework (Telmer 1993; Viceira 2001) as well as include limited horizon (Dammon, Spatt, and Zhang 2001) and life-cycle considerations (Campbell et al., 2001; Gomes and Michaelides, 2002).”
Demographics, Stock Market Flows, and Stock Returns (2004, background): “Then it can be shown that (all proofs are given in Appendix A): 6However, see Bodie, Merton, and Samuelson (1992), Heaton and Lucas (2000), and Viceira (2001) for analysis of this problem with labor income uncertainty under other restrictions.”
Dynamic asset allocation with stochastic income and interest rates. (2010, unknown): “In the calibration of income parameters, we apply modeling ideas from the discretetime settings of Cocco, Gomes, and Maenhout (2005) and Campbell and Viceira (2002) and decompose log-income into a personal component and a common component, so that the income of individuals with characteristics i is ”
Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints (2005, unknown): “7 Similar to Viceira (2001), we only consider transitory shocks to the labor-income growth rate and set the standard deviation of the shocks at 13% per year.”
Consumption and Portfolio Choice over the Life Cycle (2005, background): “Heaton and Lucas (1997), Koo (1998) and Viceira (2001) consider infinite-horizon models of portfolio choice with uninsurable labor income risk.”
Mutual Fund Performance: Skill or Luck? (2005, background): “Following on from this Wermers (2003) finds that persistent large cash inflows to winner funds are invested with a lag and the average dollar invested in past winner funds does not earn more than that invested in past loser funds.”
Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts (2011, unknown): “9 used by Gomes, Kotlikoff, and Viceira (2008). Yet, by doing so, the optimal behaviors resulting from our model, such as retirement behavior, consumption”
Chapter 21 - Household Finance: An Emerging Field∗ (2013, unknown): “Like non-participation, under-diversification can simply be the result of households facing fixed learning or transaction costs (Brennan, 1975), that limit awareness of available investment opportunities. Merton (1987) studies an economy where investors have the same information on the securities th”
Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk (2018, background): “Bodie, et al. (1992), Heaton and Lucas (2000), and Viceira (2001) investigate the relation between labour income variations and investors’ portfolio decisions and confirm the relevance of labour income risk to asset allocations.”
An Empirical Analysis of the Risk Properties of Human Capital Returns (2003, background): “It may also shed light on the behavior of individuals regarding their allocations among risky nancial assets (bonds and stocks) and nontraded assets such as human capital.21 The empirical 21 See, for instance, Niko Canner et al. (1997) and Luis Viceira (2001).”
Heterogeneity and Persistence in Returns to Wealth (2018, unknown): “22Heterogeneity may also come from human capital, as in Viceira (2001). This is irrelevant for our argument, since in these models any extra “channel” affects only the share invested in risky assets, not the return earned on each asset class.”
Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds (2008, background): “Most prior work on life-cycle investing has treated labor earnings as exogenous (Luis M. Viceira, 2001, Joao Cocco, Francisco J. Gomes, and Pascal Maenhout, 2005, Francisco J. Gomes and Alexander Michaelides, 2005, Francisco J. Gomes, Luis M. Viceira, and Laurence J. Kotlikoff, 2006).”