Essays On Intertemporal Consumption And Portfolio Choice
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Essays On Intertemporal Consumption And Portfolio Choice
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Author :
language : en
Publisher:
Release Date : 2015
Essays On Intertemporal Consumption And Portfolio Choice written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Three Essays In Intertemporal Choice
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Author : John Keith Horowitz
language : en
Publisher:
Release Date : 1988
Three Essays In Intertemporal Choice written by John Keith Horowitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Consumer behavior categories.
Essays In Optimal Consumption And Portfolio Choice
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Author : Jialun Li
language : en
Publisher:
Release Date : 2012
Essays In Optimal Consumption And Portfolio Choice written by Jialun Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Essays On Stochastic Intertemporal Household Choice
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Author : Myung-ho Park
language : en
Publisher:
Release Date : 2005
Essays On Stochastic Intertemporal Household Choice written by Myung-ho Park and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
A Note On Robustness In Merton S Model Of Intertemporal Consumption And Portfolio Choice
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Author : Paolo Vanini
language : en
Publisher:
Release Date : 2003
A Note On Robustness In Merton S Model Of Intertemporal Consumption And Portfolio Choice written by Paolo Vanini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
The paper presents a robust version of a simple two-assets Merton (1969, Review of Economics and Statistics 51, 247-57) model where the optimal choices and the implied shadow market prices of risk for a representative robust decision maker (RDM) can be easily described. With the exception of the log-utility case, precautionary behaviour is induced in the optimal consumption-investment rules through a substitution of investment in risky assets with both current consumption and riskless saving. For the log-utility case, precautionary behaviour arises only through a substitution between risky and riskless assets. On the financial side, the decomposition of the market price of risk in a standard consumption based component and a further price for model uncertainty risk (which is positively related to the robustness parameter) is independent of the underlying risk aversion parameter.
Essays On Consumption Insurance And Portfolio Choice Over The Life Cycle
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Author : Lorenz S. Schendel
language : en
Publisher:
Release Date : 2014
Essays On Consumption Insurance And Portfolio Choice Over The Life Cycle written by Lorenz S. Schendel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
An Intertemporal Model Of Consumption And Portfolio Allocation
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Author : Buddhavarapu Sailesh Ramamurtie
language : en
Publisher:
Release Date : 2014
An Intertemporal Model Of Consumption And Portfolio Allocation written by Buddhavarapu Sailesh Ramamurtie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We develop an infinite time horizon, continuous time model of portfolio choice and consumption allocation for an investor seeking to maximize the expected utility of his life-time consumption. In this model, the investor is endowed with capital that can be invested in long-lived capital assets and has, in addition, a stochastic stream of cash flows that could be interpreted as either a wage income stream or a stochastic endowment flow. We obtain a complete and original solution to the consumption-portfolio choice problem for the negative exponential and quadratic utility functions and special case solutions for the general power and log utility functions. The results obtained in this paper have significant implications for the theory of asset prices, the theory of mutual funds, optimal portfolio strategies of investors, and so forth. The results of the model can also be easily extended to one with a finite time horizon.
Essays On Expectations Based Reference Dependent Consumption And Portfolio Choice
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Author : Michaela Friederike Annabelle Pagel
language : en
Publisher:
Release Date : 2014
Essays On Expectations Based Reference Dependent Consumption And Portfolio Choice written by Michaela Friederike Annabelle Pagel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays On Consumption Portfolio Choice With Habits
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Author : Sebastian Wagner
language : en
Publisher:
Release Date : 2017
Essays On Consumption Portfolio Choice With Habits written by Sebastian Wagner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Essays On Time Preference Anomalies Intertemporal Choice Insurance And Status
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Author : Bianjun Xia
language : en
Publisher:
Release Date : 2011
Essays On Time Preference Anomalies Intertemporal Choice Insurance And Status written by Bianjun Xia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Decision making categories.
The goal of my dissertation is to analyze individuals' behavior when they make choices over time and within a group. The first chapter is devoted to explaining some key time preference anomalies which are inconsistent with the standard discounted utility model. In the second chapter, I focus on how inter-personal comparisons would affect people's intertemporal choices. Finally, the last chapter studies how the concern for status affects the optimal risk sharing across individuals. The first chapter studies some key time preference anomalies. These include the time preference reversal characteristic of hyperbolic discounting, the magnitude effect and the extreme sign effect. I propose a simple explanation of discounting that accounts for these three anomalies simultaneously, within the context of the expected utility model with uncertainty, risk aversion and preference for precautionary saving. The second chapter develops an intertemporal model in which individuals care about consumption not only for its own sake but also for the status it implies. By putting an additive status term into the utility function, I show that the level of inequality in the initial wealth distribution affects individuals' saving and consumption behavior. The direction of the distortion in intertemporal choice relative to the standard model without status depends on the elasticity of intertemporal substitution in the utility from absolute consumption. I also analyze how changes in the initial wealth distribution affect saving. In the third chapter we develop a series of optimal social insurance models in which people care about both consumption per se and the status it implies. We show that the concern for status does impact the optimal contract under various information structures. Particularly, under complete information without commitment problem, the optimal contract may assign all the society resources to the minority group if the status term is convex enough. Under the limited enforcement regime, compared to the optimal allocation in the pure consumption model, it is optimal to transfer more resources to high income people when the status term is convex. Under moral hazard, the relatively lower status resulting from the higher effort level may make implementation of high effort level more difficult.