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Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
Who Invests in Home Equity to Exempt Wealth from Bankruptcy?
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios ...
The Survey of Income and Program Participation (SIPP) is a household-based survey designed as a continuous series of national panels. Each panel features a nationally representative sample interviewed over a multi-year ...