Quasi-Hyperbolic Discounting under Recursive Utility and Consumption-Investment Decisions
Quasi-Hyperbolic Discounting under Recursive Utility and Consumption-Investment Decisions
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DOI：
10.2139/ssrn.3672999
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发表时间：
2020-08
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影响因子：
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通讯作者：
Yuki Shigeta
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文献类型：
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作者：
Yuki Shigeta
本文研究了连续时间下具有拟双曲贴现的Epstein-Zin递归效用函数。我直接定义的效用过程，并考虑默顿的最优消费投资问题的应用。我证明了Hamilton-Jacobi-Bellman方程的解是价值函数。数值比较静态和数学分析表明，与常数相对风险厌恶效用不同，Epstein-Zin效用中的当前偏差导致经济上显著的过度消费，保持对风险的合理态度。此外，我表明，复杂的代理人的prepreprepression发生时，只有当他或她的跨期替代消费弹性大于1。
This paper examines an Epstein-Zin recursive utility with quasi-hyperbolic discounting in continuous time. I directly define the utility process and consider a Merton's optimal consumption-investment problem for application. I show that a solution to the Hamilton-Jacobi-Bellman equation is the value function. The numerical comparative statics and mathematical analysis shows that, unlike in the constant relative risk aversion utility, present bias in the Epstein-Zin utility causes economically significant overconsumption, maintaining a plausible attitude toward risks. Additionally, I show that the sophisticated agent's preproperation occurs if and only if his or her elasticity of intertemporal substitution in consumption is larger than one.