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Inequality and Risk Premia
We show quantitatively that status-seeking preferences can help to jointly explain three empirical facts; Large portfolio exposure to idiosyncratic risk among the wealthy, increasing savings rates in wealth, and the equity premium. Building on Huetsch (2022), we further extend Indepedent General Polynomial Chaos Expansion can be extended to solve dynamic models in the context of non-trivial portfolio choices.
Leon Huetsch
,
Tim Landvoigt
May 1, 2022
Inequality and Risk Premia
We show quantitatively that status-seeking preferences can help to jointly explain three empirical facts; Large portfolio exposure to idiosyncratic risk among the wealthy, increasing savings rates in wealth, and the equity premium. Building on Huetsch (2022), we further extend Indepedent General Polynomial Chaos Expansion can be extended to solve dynamic models in the context of non-trivial portfolio choices.
Leon Huetsch
,
Tim Landvoigt
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