G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4733
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
URLhttps://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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