| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4733
|
| DP4733 Balance of Power |
| jan boone
|
| 发表日期 | 2004-11-23
|
| 出版年 | 2004
|
| 语种 | 英语
|
| 摘要 | This Paper studies a consumption and portfolio choice problem of a long-lived investor who derives pleasure not only from current consumption, but also from contemplation of future consumption. These preferences are formalized by Kuznitz (2003a, 2003b, 2003c), in a model where all effects of future consumption on current well being are assumed to enter through a single variable ? that is, the ?stock of future consumption? ? analogously to habit-formation models. The main implications of the model concern the incentives for savings, and the fundamental sources of risk in financial markets. In this Paper it is shown that, when the stock market exhibits mean reversion, deriving utility from anticipation of future consumption has a tremendous effect on portfolio choice. In particular, mean allocation to stocks is much lower under the proposed preferences relative to the standard preferences, especially for high-risk averse investors. |
| 主题 | Financial Economics
|
| 关键词 | Consumption
Portfolio
Habit-formation
Mean reversion
|
| URL | https://cepr.org/publications/dp4733
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533651
|
推荐引用方式
GB/T 7714 |
jan boone. DP4733 Balance of Power. 2004.
|
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