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- Holger Kraft
- Department of Finance, Goethe University Frankfurt am Main, 60323 Frankfurt am Main, Germany
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- Claus Munk
- School of Economics and Management and Department of Mathematical Sciences, Aarhus University, Aarhus DK-8000, Denmark
書誌事項
- 公開日
- 2011-06
- DOI
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- 10.1287/mnsc.1110.1336
- 公開者
- Institute for Operations Research and the Management Sciences (INFORMS)
この論文をさがす
説明
<jats:p> We derive explicit solutions to life-cycle utility maximization problems involving stock and bond investment, perishable consumption, and the rental and ownership of residential real estate. Prices of houses, stocks and bonds, and labor income are correlated. Because of a positive correlation between house prices and labor income, young individuals want little exposure to house price risk and tend to rent their home. Later in life the desired housing investment increases and will eventually reach and exceed the desired consumption, suggesting that the individual should buy his home—and either additional housing units (for renting out) or house price–linked financial assets. In the final years, preferences shift back to home rental. The derived strategies are still useful if housing positions are only reset infrequently. Our results suggest that markets for real estate investment trusts or other house price–linked contracts lead to nonnegligible welfare gains. </jats:p><jats:p> This paper was accepted by Wei Xiong, finance. </jats:p>
収録刊行物
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- Management Science
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Management Science 57 (6), 1025-1041, 2011-06
Institute for Operations Research and the Management Sciences (INFORMS)
