Earticle

초록

영어

This paper proposes a utility model in which agents require effort to learn how to consume effectively. In this model, there is an ideal utility function of consumption that requires skill to achieve. At each time, there is a range of consumption levels for which the agent can consume at the full potential described by this ideal utility function, and consuming outside this range generates less than the potential utility. There is an optimal policy for expending effort to move the boundaries of the range of consumption levels at which the agent is skilled at consuming. When the range is narrow, the presence of this learning induces a kind of risk aversion in the large, and makes the indirect utility function more concave than it would otherwise be. When the utility loss of consuming outside the comfortable zone is relatively small or the cost of learning is sufficiently large, the agent consumes near the optimal consumption level, spending little effort in learning. In the opposite case, however, the agent never consumes outside the comfortable zone and expends relatively large effort on learning.

목차

Abstract
 1 Introduction
 2 A Utility Model in Continuous Time
 3 Optimal Consumption and Learning
 4 The Case with CRRA Utility
  4.1 Derivation of the Solution
  4.2 Numerical Examples
 5 Conclusion
 Appendix
 References
 Figure

저자

• Philip H. Dybvig [ Washington University in Saint Louis, USA, ]
• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Korea ]
• Hyeng Keun Koo [ Graduate Department of Financial Engineering, Ajou University, Korea, ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330