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英文文献：Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution-偏好中习惯形成的跨期资产配置:近似解析解
英文文献作者：Thomas Q. Pedersen
英文文献摘要：
In this paper we derive an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely-lived investor with power utility defined over the difference between consumption and an external habit. The investor is assumed to have access to two tradable assets: a risk free asset with constant return and a risky asset with a time-varying premium. We extend the approach proposed by Campbell and Viceira (1999), which builds on log-linearizations of the Euler equation, intertemporal budget constraint, and portfolio return, to also contain the log-linearized surplus consumption ratio. The "difference habit model" implies that the relative risk aversion is time-varying which is in line with recent evidence from the asset pricing literature. We show that accounting for habit affects both the myopic and intertemporal hedge component of optimal asset demand, and introduces an additional component that works as a hedge against changes in the investor's habit level. In an empirical application, we calibrate the model to U.S. data and show that habit formation has significant effects on both the optimal consumption and portfolio choice compared to a standard CRRA utility function.
本文给出了一个无穷大寿命投资者的最优消费和投资组合选择问题的近似解析解，该问题的幂效用定义在消费和一种外部习惯的差异上。假设投资者可以获得两种可交易资产:一种是无风险资产，收益不变;另一种是风险资产，溢价时变。我们扩展了Campbell和Viceira(1999)提出的方法，该方法建立在欧拉方程、跨期预算约束和投资组合回报的对数线性化基础上，也包含对数线性化的剩余消费率。“差异习惯模型”暗示相对风险厌恶是时变的，这与最近资产定价文献中的证据一致。我们表明，考虑习惯会影响最优资产需求的短视和跨期对冲成分，并引入一个额外的成分，作为对冲投资者习惯水平的变化。在实证应用中，我们根据美国数据校准了该模型，并表明，与标准的CRRA效用函数相比，习惯形成对最优消费和投资组合选择都有显著影响。
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