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dc.contributor.authorBONAPARTE, Yosef
dc.contributor.authorCOOPER, Russell
dc.date.accessioned2010-04-28T08:03:29Z
dc.date.available2010-04-28T08:03:29Z
dc.date.issued2010
dc.identifier.issn1725-6704
dc.identifier.urihttps://hdl.handle.net/1814/13794
dc.description.abstractThis 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.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2010/19en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.titleCostly Portfolio Adjustmenten
dc.typeWorking Paperen
dc.neeo.contributorBONAPARTE|Yosef|aut|
dc.neeo.contributorCOOPER|Russell|aut|
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