학술논문
The Effects of Uncertainty on the Optimal Consumption and Portfolio Rules: An Analytical Approach
이용수 3
- 영문명
- The Effects of Uncertainty on the Optimal Consumption and Portfolio Rules: An Analytical Approach
- 발행기관
- 한국계량경제학회
- 저자명
- Myung-Ho Park
- 간행물 정보
- 『한국계량경제학회 학술대회 논문집』2008년 하계학술대회, 1~26쪽, 전체 26쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2008.08.30
5,920원
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국문 초록
영문 초록
This paper derives the Taylor approximations to the solutions of continuous-time dynamic stochastic problems, assuming for an infinitelylived household without a specific utility function in the presence of asset return and/or uninsurable labor income uncertainty. These approximations allow one to study the quantitative effects of uncertainty on the optimal consumption and portfolio choice in a model with a permanent income household that can freely borrow and lend. The findings suggest that the persistence of labor income shocks is important in determining the size of precautionary saving and precautionary portfolio choice effects. Finally, this model is calibrated under the assumption of constant relative risk aversion utility and the result shows that uninsurable labor income uncertainty has quantitatively significant effects on consumption and portfolio choice for several plausible parameter values. Moreover, as the persistence of labor income shocks gets longer, the negative effects on both consumption and risky asset investment are stronger.
목차
1 Introduction
2 A Representative Agent Model with Asset Return Uncertainty Alone
3 A Representative Agent Model with Labor Income Uncertainty Alone
4 A Representative Agent Model with Asset Return and Labor Income Uncertainty
5 A Numerical Illustration
6 Conclusion
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