The majority of household wealth is held in illiquid forms such as home equity and retirement accounts. This paper presents a theoretical model which derives the optimal portfolio allocation between liquid and illiquid assets. The effect of income uncertainty on portfolio choice behavior is examined in detail. I show that the bulk of household savings can be optimally held in the illiquid form ...

We exploit the potential of latent class analysis in order to propose an innovative framework for financial portfolio development. By stressing the latent nature of the most important financial variables, the expected return and the risk, we are able to introduce a methodological dimension in relevant steps of portfolio analysis. First, we provide a test for the number of possible investment ch...

In this paper we consider a canonical stochastic overlapping generations economy with sequentially complete markets. We examine how aggregate and individual shocks translate to changes in the distribution of wealth and how these movements in the wealth distribution affect asset prices and the interest rate. We show that effects are generally small if agents have identical beliefs but that diffe...

We provide general representations for the rate of return and the volatility of a risky asset and for the optimal portfolios in equilibrium with heterogeneous agents. Our universal representations allow for arbitrary utility functions and an arbitrary diffusion process for the state variable. The key element is a new object that we call the “rate of macroeconomic fluctuations”: In equilibrium, ...

Resumen The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor?s decision-making...

Data envelopment analysis (DEA) is a representative method to estimate efficient frontiers and derive efficiency. However, in a situation with weight restrictions on individual input–output pairs, its suitability has been questioned. Therefore, the main purpose of this paper is to develop a mathematical method, which we call the input-oriented ratio-based comparative efficiency model, DEA-R-I, ...

Resum The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor?s decision-making t...

W e investigated whether automatic phonetic transcriptions (APTs) can replace manually verified phonetic transcriptions (MPTs) in a large corpus-based study on pronunciation variation. To this end, we compared the performance o f both transcription types in a classification experiment aimed at establishing the direct influence o f a particular situational setting on pronunciation variation. W e...

Article history: Received 2 September 2014 Received in revised form 29 May 2015 Accepted 2 June 2015 Available online 6 July 2015 Uncertainty is a pervasive characteristic of all research addressed at the International Institute for Applied Systems Analysis (IIASA) which is at the core of this Special Issue. The role of science in better coping with uncertainty is twofold. First, to describe un...

Abstract The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor?s decision-makin...