财富偏好、习惯形成和消费与财富的波动率

本文构造了基于财富和习惯的消费—资产组合投资模型,其中代表性投资者的效用函数不但依赖于投资者的消费历史,还依赖于其财富水平。本文所提出的模型是对Merton(1971)、Bakshi和Chen(1996)、Sundaresan(1989)和Constantinides(1990)的消费—资产组合投资模型的推广。我们使用随机动态规划求解模型,并给出了最优的消费和组合投资规则。我们使用此模型计算了消费与财富的波动率,发现习惯形成和较弱的财富偏好均能导致更加平滑的消费行为,从而解释了消费平滑之谜。

PREFERENCE FOR WEALTH,HABIT FORMATION,AND THE VOLATILITY OF CONSUMPTION AND WEALT

In this paper, we describe a general framework of consumption-portfolio problemwith the preference for wealth and habit formation. Our model extends the consumption-portfoliomodel of Merton (1971), Sundaresan (1989), and Bakshi and Chen (1996). We apply thestochastic dynamic programming to obtain the solution to the problem, and describe the optimalpolicy, the value function, and the dynamics of consumption. We explore the consumption-smoothing puzzle and suggest that habit formation and bounded preference ...