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摘要翻译：
本文通过对Duesenberry(1949)提出的消费决策部分不可逆的理论的形式化，研究了消费决策部分不可逆的经济主体的消费和冒险决策。最优政策表现为一种(s，s)政策：有两个财富阈值，在此阈值内消费保持不变。消费在阈值上增加或减少，调整后设置新的阈值。风险投资在代理人总投资中所占的份额在(s，s)带内呈反U型，这就产生了随时间变化的风险厌恶。这一性质可以解释资产定价和家庭投资组合选择方面的困惑和问题，例如，为什么总消费如此平稳，而高股票溢价却很高，股票收益具有高波动性，为什么风险份额如此低，而微观数据估计的风险厌恶却很小，财富增加是否以及何时对风险份额产生影响。部分不可逆模型可以解释消费的过度敏感性和过度平滑性。
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英文标题：
《Duesenberry's Theory of Consumption: Habit, Learning, and Ratcheting》
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作者：
Kyoung Jin Choi, Junkee Jeon, Hyeng Keun Koo
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：Theoretical Economics 理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要：
This paper investigates the consumption and risk taking decision of an economic agent with partial irreversibility of consumption decision by formalizing the theory proposed by Duesenberry (1949). The optimal policies exhibit a type of the (s, S) policy: there are two wealth thresholds within which consumption stays constant. Consumption increases or decreases at the thresholds and after the adjustment new thresholds are set. The share of risky investment in the agent's total investment is inversely U-shaped within the (s, S) band, which generates time-varying risk aversion that can fluctuate widely over time. This property can explain puzzles and questions on asset pricing and households' portfolio choices, e.g., why aggregate consumption is so smooth whereas the high equity premium is high and the equity return has high volatility, why the risky share is so low whereas the estimated risk aversion by the micro-level data is small, and whether and when an increase in wealth has an impact on the risky share. Also, the partial irreversibility model can explain both the excess sensitivity and the excess smoothness of consumption.
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PDF链接：
https://arxiv.org/pdf/1812.10038
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