Saving rates and portfolio choice with subsistence consumption
نویسندگان
چکیده
منابع مشابه
Moving costs, nondurable consumption and portfolio choice
The substantial adjustment cost for housing transactions affects a homeowner’s decision about when to move. It also affects her consumption of nondurables and her portfolio, at dates when a new house is purchased and over time intervals between moves. These decisions are studied using a calibrated dynamic model. For reasonable transaction costs, portfolios display substantial swings during inte...
متن کاملOptimal consumption and portfolio choice with ambiguity and anticipation
This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedgin...
متن کاملOptimal Consumption and Portfolio Choice with Borrowing Constraints
In this paper, we use stochastic dynamic programming to study the intertemporal consumption and portfolio choice of an infinitely lived agent who faces a constant opportunity set and a borrowing constraint. We show that, under general assumptions on the agent's utility function, optimal policies exist and can be expressed as feedback functions of current wealth. We describe these policies in de...
متن کاملOptimal Consumption and Portfolio Choice with Loss Aversion
This paper analyses the consumption-investment problem of a loss averse investor equipped with s-shaped utility over consumption relative to a time-varying reference level. Optimal consumption exceeds the reference level in good times and descend to the subsistence level in bad times. Accordingly, the optimal portfolio is dominated by a mean-variance component in good times and rebalanced more ...
متن کاملConsumption and Portfolio Choice with Option-Implied State Prices
We propose an empirical implementation of the consumption-investment problem using the martingale representation alternative to dynamic programming. Our method is based on the direct observation of state prices from options data. This greatly simpli es the investors task of specifying the investment opportunity set and inherits the computational convenience of the martingale representation. Ou...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2012
ISSN: 1094-2025
DOI: 10.1016/j.red.2011.01.002