Robustly Strategic Consumption-Portfolio Rules with Informational

• 成果类型: Article
• 署名作者: Luo, Yulei
• 署名单位: University of Hong Kong
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2553
• 发表日期: 2017
• 页码: 4158-4174
• 关键词: robustness; model uncertainty; rational inattention; uninsurable labor income; Strategic asset allocation; precautionary savings

摘要

This paper provides a tractable continuous-time, constant absolute risk aversion-Gaussian framework to explore how the interactions of fundamental uncertainty, model uncertainty due to a preference for robustness, and state uncertainty due to information-processing constraints (rational inattention) affect strategic consumption-portfolio rules and precautionary savings in the presence of uninsurable labor income. Specifically, after solving the model explicitly, I compute and compare the elasticities of strategic asset allocation and precautionary savings to risk aversion, robustness, and inattention. Furthermore, for plausibly estimated and calibrated model parameters, I quantitatively analyze how the interactions of model uncertainty and state uncertainty affect the optimal share invested in the risky asset and show that they can provide a potential explanation for the observed stockholding behavior of households with different education and income levels.