Consumption Ratcheting, Portfolio Selection, and Risk Attitude
2019/05/14
研討會日期 : 2019-05-14
時間 : 14:30
主講人 : Professor Kyoung-Jin Choi
主持人 : Professor Hsuan-Chih Lin
地點 : Conference Room C103
演講者簡介 : Professor Choi received his Ph.D. in Economics from Washington University in St. Louis in 2011. He is currently an Associate Professor of Finance at Haskayne School of Business, University of Calgary. His research interests are investment, real options, dynamic contracting, and Fintech.
演講摘要 : This paper investigates optimal consumption, portfolio selection and risk attitude of an economic agent who faces partial irreversibility of consumption decisions, formalizing the theory proposed by Duesenberry (1949). We derive optimal policies and a measure of risk aversion implied by the optimal portfolio in closed form. The optimal consumption policy involves an inaction interval for the consumption wealth ratio; when the ratio is inside the interval it is optimal not to adjust consumption, and when the ratio is outside the interval, it is optimal to adjust consumption immediately to restore the ratio to the nearest boundary of the interval. The share of risky investment in the agent's financial wealth shows a U-shape, which can reconcile the debate in the empirical literature on the relationship between the financial wealth and the risky share. The optimal consumption policy and the time-varying effective risk aversion can provide an explanation of the number of puzzles including the excess smoothness and excess sensitivity of consumption, and the risk-attitude featuring high (low) risk-aversion to small and moderate (large) shocks. We also provide an extension of our model to that with durable or multiple goods.
