Autori
Cooper, Russel
Bonaparte, Yosef

Titolo
Costly Portfolio Adjustment
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2010 - Fascicolo: 19 - Pagina iniziale: 1 - Pagina finale: 18

This paper studies the dynamic optimization problem of a household when portfolio adjustment is costly. The analysis is motivated by the observation that on a monthly basis, less than 10% of stockholders typically adjust their portfolio of common stocks. We use this, and related observations, to estimate the parameters of household preferences and portfolio adjustment costs. We find significant adjustment costs, beyond the direct costs of buying and selling assets. These adjustment costs imply that inferences drawn about household risk aversion and the elasticity of intertemporal substitution are biased: household risk aversion is lower compared to other estimates and it is not equal to the inverse of the elasticity of intertemporal substitution.




Esportazione dati in Refworks (solo per utenti abilitati)