Habit Formation And Persistence In Individual Asset Portfolio Holdings
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Habit Formation and Persistence in Individual Asset Portfolio Holdings
Author | : Sònia Muñoz |
Publisher | : |
Total Pages | : 42 |
Release | : 2006 |
Genre | : Asset allocation |
ISBN | : |
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This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a particularly important feature of household portfolio behavior: the infrequency of portfolio allocation changes. I find evidence of strong unobserved heterogeneity through time-varying error components, which I interpret as taste persistence in both the risky and safe asset participation decisions. I estimate the model using the method of maximum smoothly simulated likelihood.
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