Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
成果类型：
Article
署名作者：
Sundaresan, Suresh M.
署名单位：
Columbia University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/2.1.73
发表日期：
1989
页码：
73
关键词：
lifetime portfolio selection
utility
INVESTMENT
MODEL
摘要：
In this article we construct a model in which a consumer's utility depends on the consumption history. We describe a general equilibrium framework similar to Cox, Ingersoll, and Ross (1985a). A simple example is then solved in closed form in this general equilibrium setting to rationalize the observed stickiness of the consumption series relative to the fluctuations in stock market wealth. The sample paths of consumption generated from this model imply lower variability in consumption growth rates compared to those generated by models with separable utility functions. We then present a partial equilibrium model similar to Merton (1969, 1971) and extend Merton's results on optimal consumption and portfolio rules to accommodate nonseparability in preferences. Asset pricing implications of our framework are briefly explored.