社会地位、非期望效用函数、资产定价和经济增长

本文利用非期望偏好结构 ,讨论消费和资产收益的时间序列行为。在这种递归偏好结构中 ,投资者积累财富不仅仅为了消费 ,也为了财富所带来的社会地位 ,我们研究这一假设对消费、投资组合策略、证券市场价格以及经济增长的影响 ,并利用所得到的定价方程讨论风险溢金问题。

Social Status,Unexpected Utility Function,Asset Pricing and Economic Growth

This paper invests testable restrictions on the time series behavior of consumption and asset returns implied by a representative agent model with the social status in which intertemporal preference is represented by a utility function that generalizes conventional, time additive and expected utility. In the recursive structure of preference, we examine the implication for consumption, portfolio holdings, stock market prices, and the growth of consumption and wealth when investors accumulate wealth not only for consumption but also for wealthinduced social status. Because the elasticity of substitution and the coefficient of relative risk aversion are indenpendent and the social status is introduced, the equity premium puzzle can be reassessed from the perspective of unexpected utility model with the social status.