| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10064
|
| DP10064 Shortfall Aversion |
| Gur Huberman; Paolo Guasoni
|
| 发表日期 | 2014-07-20
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | Shortfall aversion reflects the higher utility loss of a spending cut from a reference point than the utility gain from a similar spending increase, in the spirit of Prospect Theory's loss aversion. This paper posits a model of utility of spending scaled by a function of past peak spending, called target spending. The discontinuity of the marginal utility at the target spending corresponds to shortfall aversion. According to the closed-form solution of the associated spending-investment problem, (i) the spending rate is constant and equals the historical peak for relatively large values of wealth/target; and (ii) the spending rate increases (and the target with it) when that ratio reaches its model-determined upper bound. These features contrast with traditional Merton-style models which call for spending rates proportional to wealth. A simulation using the 1926-2012 realized returns suggests that spending of the very shortfall averse is typically increasing and very smooth. |
| 主题 | Financial Economics
|
| 关键词 | Loss aversion
Portfolio choice
Consumption
Endowments
|
| URL | https://cepr.org/publications/dp10064
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538897
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推荐引用方式
GB/T 7714 |
Gur Huberman,Paolo Guasoni. DP10064 Shortfall Aversion. 2014.
|
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