Consuming durable goods when stock markets jump: a strategic asset allocation approach

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dc.contributor.authorJOÃO MANUEL GONÇALVES AMARO DE MATOS
dc.contributor.authorSilva, Nuno
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorSilva, Nuno
dc.date.accessioned2022-11-25T22:44:13Z
dc.date.available2022-11-25T22:44:13Z
dc.date.issued2014
dc.description.notesTexto completopt_BR
dc.description.otherIn this paper we show the impact of considering jumps in the return process of risky assets when deciding how to invest and consume throughout time. Agents derive their utilities from consumption over time. We consider an agent that invests in the financial market and in durable and perishable consumption goods. Assuming that there are costs for transacting the durable good, we show that an agent who does not consider the possibility of jumps will make suboptimal decisions, not only regarding the fraction of wealth invested in the stock market, but also with respect to the timing for trading on the durable good. Furthermore we also show that jumps cause a non-obvious asymmetric impact on the thresholds that lead the consumer to trade the durable good, even when the jump distribution is symmetric.pt_BR
dc.format.extentp. 86-104pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1016/j.jedc.2014.02.013pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4761
dc.identifier.volume42pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofJournal of Economic Dynamics & Controlpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsStrategic asset allocationpt_BR
dc.subject.keywordsOptimal investmentpt_BR
dc.subject.keywordsJumpspt_BR
dc.subject.keywordsFinancial marketspt_BR
dc.subject.keywordsDurable consumption goodspt_BR
dc.subject.keywordsPerishable consumption goodspt_BR
dc.titleConsuming durable goods when stock markets jump: a strategic asset allocation approachpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttp://dx.doi.org/10.1016/j.jedc.2014.02.013
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublicationac890f41-33de-45ce-aec9-008f4e484060
relation.isAuthorOfPublication.latestForDiscoveryac890f41-33de-45ce-aec9-008f4e484060
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