Blar i Scientific articles på forfatter "Ehling, Paul"
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Asset Prices and Portfolio Choice With Learning from Experience
Ehling, Paul; Graniero, Alessandro; Heyerdahl-Larsen, Christian (Journal article; Peer reviewed, 2018)We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in ... -
Complete and incomplete financial markets in multi-good economies
Ehling, Paul; Heyerdahl-Larsen, Christian (Journal article; Peer reviewed, 2015)We investigate conditions for endogenous incompleteness and completeness in continuoustime nancial markets driven by di usion processes with multiple consumption goods and heterogeneous agents. We show that for a class ... -
Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian (Journal article; Peer reviewed, 2017)Correlations of equity returns have varied substantially over time and remain a source of continuing policy debate. This paper studies stock market correlations in an equilibrium model with heterogeneous risk aversion. In ... -
Portfolio Tax Trading with Carryover Losses
Ehling, Paul; Gallmeyer, Michael; Srivastava, Sanjay; Tompaidis, Stathis; Yang, Chunyu (Journal article; Peer reviewed, 2018)We study portfolio choice with multiple stocks and capital gain taxation assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, ...