Portfolio and consumption decisions with the consumption habit constraints

doi:10.1016/j.na.2005.03.007

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	Portfolio and consumption decisions with the consumption habit constraints
	Cheng, Bing; Wei, Xianhua
	2005-11-30
发表期刊	NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS
ISSN	0362-546X
卷号	63 期号:5-7 页码:E2335-E2346
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.
关键词	Investment Consumption habit Intertemporal asset pricing Portfolio insurance
DOI	10.1016/j.na.2005.03.007
语种	英语
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
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000208147800229
出版者	PERGAMON-ELSEVIER SCIENCE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1873
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.