Collaborative Research: Optimal Consumption and Portfolio Policies when Preferences Exhibit the Properties of Local Substitution and Habit Formation

总消费、生产率、 资本，股票和债券市场价格水平是一个 宏观经济和金融的基本问题。 从 宏观经济政策视角，充分理解 真实的市场活动与金融市场的相互作用 制定直接影响的政策需要变革 在金融市场上。 此外，一个合理的理论， 储蓄/消费与消费水平变化之间的关系 金融资产的价格可以帮助政策制定者解释 金融市场不断发出的信号， 未来的经济活动。 这一贡献 一个项目是为金融研究开发一个新的理论， 资产价格提供了一个更现实的代表， 跨期消费偏好比经典的添加剂 实用新型 本项目研究一个模型的微观经济含义， 连续时间不确定性下的选择 参与此事的探员 模型将附近日期的消费视为几乎完美的 替代品，除非可能出现信息意外。 所有的 时间加性以及几乎所有的非时间加性效用 在文献中使用的函数不能满足这个局部 替代性质 该项目还调查了 习惯的形成，同时保留局部的可替代性 消费

The relationship between aggregate consumption, productivity of capital, and levels of stock and bond market prices is a fundamental issue in macroeconomics and finance. From a macroeconomic policy perspective, an adequate understanding of the interactions between real market activities and financial market changes is necessary for formulating policies with direct impact on the financial markets. In addition, a reasonable theory of the relationship between savings/consumption and changes in levels of prices of financial assets can help policy makers interpret the signals that the financial markets continuously send about the future course of economic activities. The contribution of this project comes in developing a new theory for the study of financial asset prices that provides a more realistic representation of intertemporal consumption preferences than the classical additive utility model. This project studies the microeconomic implications of a model of choice under uncertainty in continuous time. The agents in this model treat consumption at nearby dates as almost perfect substitutes except possibly at information surprises. All the time-additive as well as almost all the non-time additive utility functions used in the literature fail to satisfy this local substitution property. The project also investigates models of habit formation while retaining the local substitutability of consumption.