dc.contributor.advisor | Jonathan A. Parker. | en_US |
dc.contributor.author | Meeuwis, Maarten. | en_US |
dc.contributor.other | Sloan School of Management. | en_US |
dc.date.accessioned | 2020-10-19T00:43:09Z | |
dc.date.available | 2020-10-19T00:43:09Z | |
dc.date.copyright | 2020 | en_US |
dc.date.issued | 2020 | en_US |
dc.identifier.uri | https://hdl.handle.net/1721.1/128100 | |
dc.description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, May, 2020 | en_US |
dc.description | Cataloged from the official PDF of thesis. | en_US |
dc.description | Includes bibliographical references (pages 30-36). | en_US |
dc.description.abstract | I estimate the structural parameters of a life-cycle consumption and portfolio choice model with non-homothetic risk preferences and study the quantitative implications of decreasing relative risk aversion for inequality and asset pricing. The model matches empirical patterns in portfolio allocations with a significant degree of nonhomotheticity in risk preferences, such that a 10% permanent income growth leads to a decrease in risk aversion by 1.9%. Decreasing relative risk aversion in the model doubles the share of wealth at the top, as equity is concentrated in the hands of the wealthy. The model also implies that rising income inequality in the U.S. has led to a 14% decline in the equity premium over the past three decades. Finally, I find that the model implications of time-varying risk aversion for the dynamics of asset prices are quantitatively limited. | en_US |
dc.description.statementofresponsibility | by Maarten Meeuwis. | en_US |
dc.format.extent | 46 pages | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Massachusetts Institute of Technology | en_US |
dc.rights | MIT theses may be protected by copyright. Please reuse MIT thesis content according to the MIT Libraries Permissions Policy, which is available through the URL provided. | en_US |
dc.rights.uri | http://dspace.mit.edu/handle/1721.1/7582 | en_US |
dc.subject | Sloan School of Management. | en_US |
dc.title | Portfolio choice and asset pricing with non-homothetic preferences | en_US |
dc.type | Thesis | en_US |
dc.description.degree | S.M. in Management Research | en_US |
dc.contributor.department | Sloan School of Management | en_US |
dc.identifier.oclc | 1200236810 | en_US |
dc.description.collection | S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management | en_US |
dspace.imported | 2020-10-19T00:43:09Z | en_US |
mit.thesis.degree | Master | en_US |
mit.thesis.department | Sloan | en_US |