Earticle

초록

영어

This paper examines optimal consumption and portfolio choice for the agent concerned about a worst-case scenario with respect to external habit formation. Our agent more decreases stock investment as the volatility of consumption surplus increases more than an agent without model uncertainty. We theoretically derive the countercyclical uncer- tainty aversion, which is disentangled from the risk aversion. The better the economy, the lower the uncertainty aversion. We obtain both the Lucas style equilibrium asset price and risk-free rate, and we provide more plausible parameter choices to explain both the equity premium puzzle and the low risk-free rate puzzle.

목차

Abstract
 1 Introduction
 2 Optimal portfolio for external habit formation without model uncertainty
  2.1 The model
  2.2 The solution
 3 Optimal portfolio strategy for external habit formation with model uncertainty
  3.1 The model
  3.2 The solution
  3.3 The countercyclical uncertainty aversion
 4 Equilibrium asset price
 5 Numerical examples
  5.1 Optimal consumption and portfolio
  5.2 Equity premium and risk-free rate puzzles
 6 Conclusion
 References
 TABLE
 FIGURE

키워드

저자

• Tong Suk Kim [ Graduate School of Finance, KAIST, ]
• Hyo Seob Lee [ Graduate School of Management, KAIST ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330