Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk
Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk
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DOI：
10.2139/ssrn.419180
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发表时间：
2003
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影响因子：
--
通讯作者：
Valery Polkovnichenko
中科院分区：
文献类型：
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作者：
Valery Polkovnichenko
本文探讨了添加剂和内生习惯形成偏好的背景下，一个生命周期模型的投资者谁随机不可保的劳动收入的影响。为了解决这个模型，我分析得出的习惯财富的可行性约束，并表明，他们取决于未来劳动收入的最坏的可能路径和习惯的强度，但不是最坏的收入的概率。当只有很小的机会出现严重的收入冲击时，该模型意味着更保守的投资组合。该模型还预测，对于一些低至中等富裕的家庭，分配给股票的投资组合份额随着财富的增加而增加。由于这一特点，该模型可以为年轻家庭产生比中年家庭更保守的投资组合。习惯对投资组合选择的影响对于通过借贷或灵活的劳动力供应来平滑收入是稳健的。一个有争议的发现是，对于习惯强度参数的高值，通常需要解决一般均衡中的资产定价难题，生命周期模型预测了与事实相反的高财富积累。(JEL：G11，G12）版权所有2007，牛津大学出版社。
This article explores the implications of additive and endogenous habit formation preferences in the context of a life-cycle model of an investor who has stochastic uninsurable labor income. To solve the model, I analytically derive the habit-wealth feasibility constraints and show that they depend on the worst possible path of future labor income and on the habit strength, but not on the probability of the worst income. When there is only a slim chance of a severe income shock, the model implies much more conservative portfolios. The model also predicts that for some low to moderately wealthy households, the portfolio share allocated to stocks increases with wealth. Because of this feature, the model can generate more conservative portfolios for younger than for middle-aged households. The effects of habits on portfolio choice are robust to income smoothing through borrowing or flexible labor supply. One controversial finding is that for high values of the habit strength parameter, usually required for the resolution of asset pricing puzzles in general equilibrium, the life-cycle model predicts counterfactually high wealth accumulation. (JEL: G11, G12) Copyright 2007, Oxford University Press.