학회소식
[2010년 제 2차] Robust Portfolio Choice with External Habit Formati
작성자 : 관리자
조회수 : 755
게시일 :
2010-06-07
This paper examines optimal consumption and portfolio choice for the agent concerned about a worst-case scenario with respect to external habit formation. Our agent more decreases stock investment as the volatility of consumption surplus increases more than an agent without model uncertainty. We theoretically derive the countercyclical uncer-tainty aversion, which is disentangled from the risk aversion. The better the economy, the lower the uncertainty aversion. We obtain both the Lucas style equilibrium asset price and risk-free rate, and we provide more plausible parameter choices to explain both the equity premium puzzle and the low risk-free rate puzzle.
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