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dc.contributor.authorWillen, Paulen_US
dc.contributor.authorKubler, Felixen_US
dc.date.accessioned2006-07-24en_US
dc.date.accessioned2012-06-20T16:09:31Z-
dc.date.available2012-06-20T16:09:31Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/59210-
dc.description.abstractWe examine the effects of collateralized borrowing in a realistically parameterized life-cycle portfolio choice problem. We provide basic intuition in a two-period model and then solve a multi-period model computationally. Our analysis provides insights into life-cycle portfolio choice relevant for researchers in macroeconomics and finance. In particular, we show that standard models with unlimited borrowing at the riskless rate dramatically overstate the gains to holding equity when compared with collateral-constrained models. Our results do not depend on the specification of the collateralized borrowing regime: The gains to trading equity remain relatively small even with the unrealistic assumption of unlimited leverage. We argue that our results strengthen the role of borrowing constraints in explaining the portfolio participation puzzle, that is, why most investors do not own stock.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of Boston Boston, Mass.en_US
dc.relation.ispartofseriesPublic policy Discussion Papers, Federal Reserve Bank of Boston 06,4en_US
dc.subject.jelG11en_US
dc.subject.jelE21en_US
dc.subject.ddc330en_US
dc.subject.stwKreditsicherungen_US
dc.subject.stwVerschuldungsrestriktionen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwLebenszyklusen_US
dc.subject.stw├ľkonometrisches Modellen_US
dc.titleCollateralized borrowing and life-cycle portfolio choiceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn514870486en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Public Policy Discussion Papers, Federal Reserve Bank of Boston

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