论文标题
习惯形成约束下的最佳消费:确定性案例
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case
论文作者
论文摘要
我们制定并解决了确定性的最佳消费问题,以最大程度地提高个人消费量的折扣,假设她只投资于无风的市场,并且她不愿意以低于一定比例的$α\(在(0,1)$α$ a $ y $ al $α= $α$α= $α的情况下,以一定比例$α的速度消费。 $α= 1 $)对应于非成瘾性(分别是上瘾的)模型。等同于那些习惯少于成瘾的人,如果他们的财富比率低于阈值,否则,这些人以耐心的方式消耗率。低阈值和代理人的风险更高(也就是说,较少的风险)。
We formulate and solve a deterministic optimal consumption problem to maximize the discounted CRRA utility of an individual's consumption-to-habit process assuming she only invests in a riskless market and that she is unwilling to consume at a rate below a certain proportion $α\in(0,1]$ of her consumption habit. Increasing $α$, increases the degree of addictiveness of habit formation, with $α=0$ (respectively, $α=1$) corresponding to non-addictive (respectively, completely addictive) model. We derive the optimal consumption policies explicitly in terms of the solution of a nonlinear free-boundary problem, which we analyze in detail. Impatient individuals (or, equivalently, those with more addictive habits) always consume above the minimum rate; thus, they eventually attain the minimum wealth-to-habit ratio. Patient individuals (or, equivalently, those with less addictive habits) consume at the minimum rate if their wealth-to-habit ratio is below a threshold, and above it otherwise. By consuming patiently, these individuals maintain a wealth-to-habit ratio that is greater than the minimum acceptable level. Additionally, we prove that the optimal consumption path is hump-shaped if the initial wealth-to-habit ratio is either: (1) larger than a high threshold; or (2) below a low threshold and the agent is more risk seeking (that is, less risk averse). Thus, we provide a simple explanation for the consumption hump observed by various empirical studies.