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

总消费、资本生产率、股票和债券市场价格水平之间的关系是宏观经济学和金融学中的一个基本问题。从宏观经济政策的角度来看，要制定对金融市场有直接影响的政策，就必须充分了解实际市场活动和金融市场变化之间的相互作用。此外，关于储蓄/消费与金融资产价格水平变化之间关系的合理理论，可以帮助政策制定者解读金融市场不断发出的关于未来经济活动进程的信号。该项目的贡献在于为研究金融资产价格发展了一种新的理论，该理论提供了比经典的可加效用模型更现实的跨期消费偏好表示。这个项目研究了在连续时间不确定情况下选择模型的微观经济含义。在这个模型中，代理人将临近日期的消费视为几乎完美的替代品，除非可能是在信息惊喜时。文献中使用的所有时间可加效用函数以及几乎所有非时间可加效用函数都不能满足这种局部替代性质。该项目还调查了习惯形成的模式，同时保留了消费的当地可替代性。

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.