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Modelling the composition of personal sector wealth in the United Kingdom

Blake, David (2003) Modelling the composition of personal sector wealth in the United Kingdom. Discussion paper: UBS Pensions Series 016, 466. Financial Markets Group, London School of Economics and Political Science, London, UK.

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Identification Number: 466

Abstract

The allocation of UK personal sector wealth across five broad asset categories (net financial wealth, housing (and durable assets) wealth, state pension wealth, private pension wealth, and human capital) is investigated using the FAIDS (financial AIDS) model. Apart from total wealth and returns, additional variables relating to capital market imperfections, and demographic, labour market and cross- sector spillover effects turn out to be significant. The adjustment of portfolio weights to shocks is very slow, taking up to 21 years for some asset categories.

Item Type: Monograph (Discussion Paper)
Official URL: http://fmg.lse.ac.uk
Additional Information: © 2003 The Author
Subjects: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 13 Aug 2009 15:59
Last Modified: 27 Feb 2014 15:35
URI: http://eprints.lse.ac.uk/id/eprint/24866

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