We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.Portfolio management ; Stock market ; Labor market

Luca Benzoni

Pierre Collin-Dufresne

Robert S. Goldstein

English

Research Papers in Economics

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Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

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Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

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