Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility

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	Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility
	Wang, Haijun 1,2; Hou, L. Steven 3
刊名	ANNALS OF ECONOMICS AND FINANCE
	2015-11
卷号	16 期号:2 页码:393-416
关键词	Consumption and portfolio choice Habit formation The spirit of capitalism Recursive utility Robustness
ISSN号	1529-7373
英文摘要	This paper studies consumption and portfolio choice with habit formation, the spirit of capitalism, recursive utility and robustness in a continuous-time stochastic model and examines how the four factors affect consumption and portfolio choice, consumption dynamics and asset pricing. The explicit solutions of the robust consumption and portfolio choice problem are obtained, the implications of the four factors for consumption and portfolio choice are discussed, and then the dynamics of consumption and the formula of asset pricing are derived. It is shown that the combined effects of habit formation which stems from past consumption, the spirit of capitalism which endows investors with direct wealth preferences, recursive utility which allows the separation of risk aversion and intertemporal substitution and robustness which takes account of model uncertainty can better interpret the consumption smoothing puzzle and the equity premium puzzle than cases which only consider one factor.
WOS研究方向	Business & Economics
语种	英语
出版者	WUHAN UNIV JOURNALS PRESS
WOS记录号	WOS:000367489600008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1438]
专题	上海财经大学
通讯作者	Wang, Haijun
作者单位	1.Shanghai Univ Finance & Econ, Sch Math, Shanghai, Peoples R China; 2.Shanghai Key Lab Financial Informat Technol, Shanghai, Peoples R China; 3.Iowa State Univ, Dept Math, Ames, IA USA
推荐引用方式 GB/T 7714	Wang, Haijun,Hou, L. Steven. Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility[J]. ANNALS OF ECONOMICS AND FINANCE,2015,16(2):393-416.
APA	Wang, Haijun,&Hou, L. Steven.(2015).Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility.ANNALS OF ECONOMICS AND FINANCE,16(2),393-416.
MLA	Wang, Haijun,et al."Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility".ANNALS OF ECONOMICS AND FINANCE 16.2(2015):393-416.