Earticle

초록

영어

This paper studies a continuous{time intertemporal consumption and portfolio choice prob- lem when a long{horizon investor does not exactly observe the expected returns of the risky asset. The representative investor who has recursive preferences uses prior belief to estimate the current regime and continuously updates her posterior beliefs with regard to future vari- ation in expected returns. We contribute to solutions to the explicit log-utility case, and to the approximate unit-risk-aversion case. We show explicitly that her belief behavior de- pends on the parameters of investment opportunities and investor preferences. In addition, the magnitude of the elasticity of intertemporal substitution of consumption determines the relative importance of the substitution and income eects of belief change on consumption.

목차

Abstract
 1. Introduction
 2. The Intertemporal Consumption and Portfolio Selection
  2.1. Investment Opportunity Set
  2.2. Investor Preferences and Optimization Problem
 3. Optimal Policies
  3.1. A Solution with Unit EIS and Unit RRA
 4. Conclusion
 References
 Supplementary Materials

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH ]
• Hyun{Tak Lee [ Department of Industrial and Management Engineering, POSTECH ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330