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UID:e900585a746e4d4b730275ae7ed118f9
CATEGORIES:Seminars
CREATED:20250611T053927
SUMMARY:Lunch Seminar: Mikhail Golosov - University of Chicago
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nA Theory of Household Financial Portfolios (Anmol Bhandari, Mikhail Gol
 osov, Judy Yue)\n\n\nAbstract:\nWe study the lifecycle allocation of financ
 ial wealth for an individual investor facing a general income process, acce
 ss to multiple asset classes, and short selling constraints. We develop ana
 lytical techniques that approximate the optimal portfolio choice at any ind
 ividual history using sufficient statistics that can be directly estimated 
 from micro-level labor income data and macro-level asset return data. A key
  advantage of our approach is that it avoids the curse of dimensionality th
 at typically arises in incomplete market models with many assets. Leveragin
 g standard tools from labor economics and finance, we construct these suffi
 cient statistics for widely available financial assets. Our quantitative fi
 ndings indicate that a representative U.S. investor should allocate heavily
  toward value stocks (i.e., high book-to-market equities) early in life. As
  retirement approaches, the portfolio gradually shifts toward a combination
  of long-duration domestic and international bonds, a modest position in a 
 broad stock market index (S&P 500) and, potentially, gold. In contrast,
  the optimal portfolio includes no exposure to housing ETFs (REITs) or indi
 ces tracking international equities.\n
DTSTAMP:20260525T042434Z
DTSTART:20250707T130000Z
DTEND:20250707T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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