Asset Pricing and Optimal Portfolio Choice in the Presence of Human Capital

2006 ◽  
Author(s):  
Shijin S. ◽  
G. ArunKumar ◽  
Sanghamitra Bhattacharyya
Keyword(s):  
Human Capital ◽  
Asset Pricing ◽  
Portfolio Choice ◽  
Optimal Portfolio

scholarly journals Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

Econometrica ◽  
1990 ◽  
Vol 58 (1) ◽  
pp. 25 ◽  
Author(s):  
Sanford J. Grossman ◽  
Guy Laroque
Keyword(s):  
Asset Pricing ◽  
Portfolio Choice ◽  
Optimal Portfolio ◽  
Durable Consumption ◽  
Consumption Goods

Human capital investment and optimal portfolio choice

2011 ◽  
Vol 17 (7) ◽  
pp. 539-552 ◽  
Author(s):  
Snorre Lindset ◽  
Egil Matsen
Keyword(s):  
Human Capital ◽  
Portfolio Choice ◽  
Capital Investment ◽  
Human Capital Investment ◽  
Optimal Portfolio

Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS

2011 ◽  
Author(s):  
Álvaro Cartea ◽  
Jonatan Saúl ◽  
Juan Toro
Keyword(s):  
Portfolio Choice ◽  
Optimal Portfolio

Optimal portfolio choice for an insurer with loss aversion

2014 ◽  
Vol 58 ◽  
pp. 217-222 ◽  
Author(s):  
Wenjing Guo
Keyword(s):  
Portfolio Choice ◽  
Loss Aversion ◽  
Optimal Portfolio

scholarly journals Is Human Capital the Sixth Factor? Evidence from US Data

2019 ◽  
Vol 8 (1) ◽  
pp. 21-55 ◽  
Author(s):  
Rahul Roy ◽  
Santhakumar Shijin
Keyword(s):  
Human Capital ◽  
Asset Pricing ◽  
Factor Model ◽  
Generalized Method Of Moments ◽  
Common Factors ◽  
Return Predictability ◽  
Pricing Model ◽  
Gmm Estimation ◽  
Asset Return ◽  
Asset Pricing Model

Problem/Relevance: Measuring the risk of an asset and the economic forces driving the price of the risk is a challengingtask that preoccupied the asset pricing literature for decades. However, there exists no consensus on the integrated asset pricing framework among the financial economists in the contemporaneous asset pricing literature. Thus, we consider and study this research problem that has greater relevance in pricing the risks of an asset. In this backdrop, we develop an integrated equilibrium asset pricing model in an intertemporal (ICAPM) framework. Research Objective/Questions: Broadly we have two research objectives. First, we examine the joint dynamics of the human capital component and common factors in approximating the variation in asset return predictability. Second, we test whether the human capital component is the unaccounted and the sixth pricing factor of FF five-factor asset pricing model. Additionally, we assess the economic and statistical significance of the equilibrium six-factor asset pricing model. Methodology: The human capital component, market portfolio, size, value, profitability, and investment are the pricing factors of the equilibrium six-factor asset pricing model. We use Fama-French (FF) portfolios of 2  3, 5  5, 10  10 sorts, 2  4  4 sorts, and the Industry portfolios to examine the equilibrium six-factor asset pricing model. The Generalized method of moments (GMM) estimation is used to estimate the parameters of variant asset pricing models and Gibbons-Ross-Shanken test is employed to evaluate the performance of the variant asset pricing frameworks. Major Findings: Our approaches led to three conclusions. First, the GMM estimation result infers that the human capital component of the six-factor asset pricing model significantly priced the variation in excess return on FF portfolios of variant sorts and the Industry portfolios. Further, the sensitivity to human capital component priced separately in the presence of the market portfolios and the common factors. Second, the six-factor asset pricing model outperforms the CAPM, FF three-factor model, and FF five-factor model, which indicates that the human capital component is a significant pricing factor in asset return predictability. Third, we argue that the human capital component is the unaccounted asset pricing factor and equally the sixth-factor of the FF five-factor asset pricing model. The additional robustness test result confirms that the parameter estimation of the six-factor asset pricing model is robust to the alternative definitions of the human capital component. Implications: The empirical results and findings equally pose the more significant effects for the decision-making process of the rational investor, institutional managers, portfolio managers, and fund managers in formulating the better investment strategies, which can help in diversifying the aggregate risks.

Mixed strategy and information theory in optimal portfolio choice

1989 ◽  
Vol 20 (2) ◽  
pp. 215-227 ◽  
Author(s):  
JATI K. SENGUPTA
Keyword(s):  
Information Theory ◽  
Portfolio Choice ◽  
Mixed Strategy ◽  
Optimal Portfolio
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