Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints
研究投资者在租房或买房获取住房服务时，如何动态调整股票、债券和住房权益的配置，发现买房者净财富中股票比例更低但流动性组合中股票比例更高，且始终租房或始终买房都会导致股票配置偏差。
We examine the optimal dynamic portfolio decisions for investors who acquire housing services from either renting or owning a house. Our results show that when indifferent between owning and renting, investors owning a house hold a lower equity proportion in their net worth (bonds, stocks, and home equity), reflecting the substitution effect, yet hold a higher equity proportion in their liquid portfolios (bonds and stocks), reflecting the diversification effect. Furthermore, following the suboptimal policy of always renting leads investors to overweigh in stocks, while following the suboptimal policy of always owning a house causes investors to underweigh in stocks. Copyright 2005, Oxford University Press.