The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility

被引：22

作者：

Bhamra, Harjoat S.

Uppal, Raman

机构：

[1] London Business Sch, London NW1 4SA, England

[2] Univ British Columbia, Sauder Sch Business, Vancouver, BC V6T 1Z2, Canada

[3] Ctr Econ Policy Res, London EC1V 7RR, England

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2006年 / 30卷 / 06期

关键词：

intertemporal optimization and decision making;

D O I：

10.1016/j.jedc.2005.04.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Our objective is to understand how risk aversion and elasticity of intertemporal substitution under recursive utility affect dynamic consumption-portfolio decisions. For a three-date model with a stochastic interest rate, we obtain an analytic solution for the optimal policies. We find that, in general, consumption and portfolio decisions depend on both risk aversion and elasticity of intertemporal substitution. The size of risk aversion relative to unity determines the sign of the intertemporal hedging portfolio, while elasticity of intertemporal substitution affects only its magnitude. The portfolio weight is independent of elasticity of intertemporal substitution only for the case of a constant investment opportunity set. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：967 / 991

页数：25

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