Gateway to Think Tanks
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. |
条目包含的文件 | 条目无相关文件。 |
个性服务 |
推荐该条目 |
保存到收藏夹 |
导出为Endnote文件 |
谷歌学术 |
谷歌学术中相似的文章 |
[jan boone]的文章 |
百度学术 |
百度学术中相似的文章 |
[jan boone]的文章 |
必应学术 |
必应学术中相似的文章 |
[jan boone]的文章 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。