报告题目：Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales

报 告 人: 张德涛 副教授 山东大学

报告时间：2019年3月16日下午4：40-5：20

报告地点：数学楼第二报告厅

摘要：This paper examines the optimal portfolio choice in the presence of risky labor income, retirement horizon and shadow costs of incomplete information and short sales. The optimal allocation to stocks is larger for employed investors than for retired investors within idiosyncratic labor income risk, incomplete information and short sales. Investors’ willingness to save is increased when increasing idiosyncratic labor income risk in the presence of incomplete information and short sales, while it is decreased when retired investors still keep partial of their income flow. Hence, they reduce their stock portfolio allocation towards the level of retired investors. The presence of a positive correlation between labor income and stock returns reduces stockholdings below the level of retired investors within the assumptions of the existence of shadow costs of incomplete information. Our results generalize previous findings in the literature by accounting for the additional impact of information costs and short sales constraints. This paper is a joint work with Professor Mondher Bellalah and Dr. Yaosheng Xu.

张德涛，山东大学经济学院副教授，主要研究有风险劳动收入、退休年限、不完全信息以及卖空风险的跨期最优投资组合选择问题，发表SSCI论文多篇。