Portfolio choice with sustainable spending: A model of reaching for yield
نویسندگان
چکیده
We show that reaching for yield—a tendency to take more risk when the real interest rate declines while premium remains constant—results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When is initially low, yield intensifies. The also affects response of risk-taking change in premium, which can even sign. In variant model where formulated nominal terms, low inflation encourages risk-taking.
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2022
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2021.05.018