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Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters
Brazilian Review of Econometrics
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| Title |
Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters
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| Creator |
Faria, Adriano
Ornelas, Rafael Almeida, Caio |
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| Subject |
—
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| Description |
This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2015-12-07
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/51595
10.12660/bre.v36n12016.51595 |
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| Source |
Brazilian Review of Econometrics; Vol 36, No 1 (2016); 43-62
Brazilian Review of Econometrics; Vol 36, No 1 (2016); 43-62 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/51595/56257
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| Rights |
Copyright (c) 2015 Brazilian Review of Econometrics
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