Dynamic asset allocation with stochastic income and interest rates

Claus Munk; Carsten Sorensen

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Dynamic asset allocation with stochastic income and interest rates

机译：具有随机收入和利率的动态资产分配

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摘要

We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (PSID) data supports this relation with substantial variation across individuals in the slope of this affine function. The slope is crucial for the valuation and riskiness of human capital and for the optimal stock/bond/cash allocation both in an unconstrained complete market and in an incomplete market with liquidity and short-sales constraints.

机译：当利率和劳动收入是随机的且短期收入中的预期收入增长是仿射的时，我们将解决最优投资组合问题，以涵盖工资的商业周期变化。我们基于收入动态面板研究（PSID）数据进行的校准以这种仿射函数的斜率在各个个体之间产生实质性变化来支持这种关系。斜率对于人力资本的估值和风险以及在不受约束的完整市场和具有流动性和卖空限制的不完整市场中的最佳股票/债券/现金分配方面至关重要。

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来源
《Journal of financial economics》 |2010年第3期|P.433-462|共30页
作者
Claus Munk; Carsten Sorensen;
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作者单位

School of Economics and Management and Department of Mathematical Sciences, Aarhus University, Bartholin's Alle 10, DK-8000 Aarhus C, Denmark;

Department of Finance, Copenhagen Business School, Denmark;

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原文格式 PDF
正文语种 eng
中图分类
关键词
portfolio management; labor income risk; interest rate risk; business cycle; life-cycle;

机译：投资组合管理;劳动收入风险;利率风险;商业周期;生命周期;

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1. Dynamic asset allocation under VaR constraint with stochastic interest rates [J] . Donatien Hainaut Annals of Operations Research . 2009,第期

机译：VaR约束下具有随机利率的动态资产分配
2. Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior? [J] . Claus Munk, Carsten Sorensen, Tina Nygaard Vinther International Review of Economics and Finance . 2004,第2期

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3. Optimal asset allocation with heterogeneous discounting and stochastic income under CEV model [J] . Danping Li, Yongzeng Lai, Lin Li Journal of the Operational Research Society . 2020,第12期

机译：CEV模型下的异构贴现和随机收入的最优资产拨款
4. Parallel Computing for Dynamic Asset Allocation Based on the Stochastic Programming [C] . Hong Li, Zhong-hua Lu, Xue-bin Chi 2010 WASE International Conference on Information Engineering . 2010

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5. Dynamic asset allocation by stochastic programming methods [D] . Collomb, Alexis 2005

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6. Critical Dynamics in the Evolution of Stochastic Strategies for the Iterated Prisoners Dilemma [O] . Dimitris Iliopoulos, Arend Hintze, Christoph Adami 2010

机译：囚徒困境的随机策略演变中的关键动力学
7. Dynamic Asset Allocation with Stochastic Income and Interest Rates [O] . Claus Munkb, Carsten Sørensen 2009

机译：随机收益和利率的动态资产配置

Dynamic asset allocation with stochastic income and interest rates

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