| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5083
|
| DP5083 Immigration and Prices |
| Saul Lach
|
| 发表日期 | 2005-05-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | The objective of this paper is to understand the implications for consumption and portfolio choice of the separation of an investor?s risk aversion and elasticity of intertemporal substitution that is made possible by recursive utility, in contrast to expected utility, where the two are governed by the same parameter. In particular, we study exactly how risk aversion and elasticity of intertemporal substitution affect optimal dynamic consumption and portfolio decisions. For a three-date, discrete-time model with a stochastic interest rate, we obtain an exact analytic solution for the optimal consumption and portfolio policies. We find that, in general, the consumption and portfolio decisions depend on both risk aversion and the elasticity of intertemporal substitution. Only in the case where the investment opportunity set is constant, is the optimal portfolio weight independent of the elasticity of intertemporal substitution. We also find that the size of risk aversion relative to unity determines the sign of the intertemporal hedging component in the optimal portfolio, while elasticity of intertemporal substitution affects only the magnitude of the hedging component. |
| 主题 | Financial Economics
|
| 关键词 | Intertemporal optimization
Decision making
|
| URL | https://cepr.org/publications/dp5083
|
| 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/533975
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推荐引用方式
GB/T 7714 |
Saul Lach. DP5083 Immigration and Prices. 2005.
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