Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/59210 
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dc.contributor.authorWillen, Paulen
dc.contributor.authorKubler, Felixen
dc.date.accessioned2006-07-24-
dc.date.accessioned2012-06-20T16:09:31Z-
dc.date.available2012-06-20T16:09:31Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of Boston |cBoston, MAen
dc.relation.ispartofseries|aPublic Policy Discussion Papers |x06-4en
dc.subject.jelG11en
dc.subject.jelE21en
dc.subject.ddc330en
dc.subject.stwKreditsicherungen
dc.subject.stwVerschuldungsrestriktionen
dc.subject.stwPortfolio-Managementen
dc.subject.stwLebenszyklusen
dc.subject.stwÖkonometrisches Modellen
dc.titleCollateralized borrowing and life-cycle portfolio choice-
dc.typeWorking Paperen
dc.identifier.ppn514870486en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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