Optimal Asset Allocation over the Life-Cycle in China: the Role of Housing

被引：0
|
作者：
Huang, Lingling [1 ]
Liu, Zhixin [1 ]
机构：
[1] N China Univ Technol, Sch Econ & Management, Beijing 100041, Peoples R China
来源：
PROCEEDINGS OF 2009 CONFERENCE ON SYSTEMS SCIENCE, MANAGEMENT SCIENCE & SYSTEM DYNAMICS, VOL 3 | 2009年
关键词：
optiaml; dynamic; asset allocation; housing; PORTFOLIO CHOICE;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we develop an optimal dynamic asset allocation model of a typical Chinese resident with stochastic labor income, risky owner-occupied house, and try to analyze the character of Chinese residents' optimal life-cycle investment and portfolio choice. Our analysis indicates that the optimal life-cycle housing position and stockholding of Chinese residents are hump-shaped in ages. Labor income risk and house price risk crowd out the stockholdings of residents during all their life-cycle, and have significant impact on residents' housing position and non-housing consumption.
引用
收藏
页码：19 / 23
页数：5
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