Portfolio and consumption decisions with the consumption habit constraints

doi:10.1016/j.na.2005.03.007

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 应用数学研究所

	Portfolio and consumption decisions with the consumption habit constraints
	Cheng, Bing; Wei, Xianhua
刊名	NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS
	2005-11-30
卷号	63 期号:5-7 页码:E2335-E2346
关键词	Investment Consumption habit Intertemporal asset pricing Portfolio insurance
ISSN号	0362-546X
DOI	10.1016/j.na.2005.03.007
英文摘要	In this paper we first argue that for a large group of investors, their portfolio and consumption choice problem must be attached to a consumption habit constraint. By using the Cox and Huang martingale approach, we obtain the optimal consumption behavior for the consumption habit. For the investors who adopt some special forms of the consumption habit, we study their investment behavior. For the constant relative risk aversion (CRRA) based investors, their behavior is related to the constant proportion portfolio insurance (CPPI) investment strategy. The deterministic part of the consumption habit will reduce the demand for risky assets and the stochastic part will increase the demand for risky assets. Once imposing the consumption habit requirement, even for the CRRA utility, the demand for risky assets is not myopic in the Merton's (1973) definition any more. (C) 2005 Elsevier Ltd. All rights reserved.
资助项目	Chinese Academy of Science ; Natural Science Foundation of China ; Risk Measurement Project ; Scientist Group of the Natural Science Foundation of China
WOS研究方向	Mathematics
语种	英语
出版者	PERGAMON-ELSEVIER SCIENCE LTD
WOS记录号	WOS:000208147800229
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/1872]
专题	应用数学研究所
通讯作者	Cheng, Bing
作者单位	Chinese Acad Sci, Res Ctr Financial Engn & Risk Management, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Cheng, Bing,Wei, Xianhua. Portfolio and consumption decisions with the consumption habit constraints[J]. NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS,2005,63(5-7):E2335-E2346.
APA	Cheng, Bing,&Wei, Xianhua.(2005).Portfolio and consumption decisions with the consumption habit constraints.NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS,63(5-7),E2335-E2346.
MLA	Cheng, Bing,et al."Portfolio and consumption decisions with the consumption habit constraints".NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS 63.5-7(2005):E2335-E2346.