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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。
This paper constructs a consumption-portfolio investment model based on wealth and custom, in which the utility function of representative investors depends not only on the consumer’s consumption history, but also on their wealth level. The model presented in this paper is an extension of the consumer-portfolio investment model of Merton (1971), Bakshi and Chen (1996), Sundaresan (1989) and Constantinides (1990). We use stochastic dynamic programming to solve the model and give the optimal consumption and portfolio rules. We use this model to calculate the volatility of consumption and wealth and find that habit formation and weaker wealth preferences lead to smoother consumer behavior, thus explaining the mystery of consumer smoothness.