Heterogenous Intertemporal Elasticity of Substitution and Relative Risk Aversion: Estimation of Optimal Consumption Choice with Habit Formation and Measurement Errors
نویسندگان
چکیده
منابع مشابه
Investigation on Habit Formation, Risk Aversion and Intertemporal Substitution in Consumption of Iranian Households by GMM Approach
Consumption is the principal feature of Iranâs Gross National Production. Therefore, recognizing of factors that influence it is quite crucial. This article, investigates habit formation, durability, relative risk aversion and intertemporal substitution in consumption expenditures of Iranian households. For empirical study, at first, we constructed two weighted portfolio of the main assets re...
متن کاملRisk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion
Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers lotteries concerning consumption at different moments in time to be positively or negatively correlated. I show that the difference between the coefficient of relative risk aversion and the inverse of the intertemporal elasticity of substitution is related, in a simple way, to the index of intert...
متن کاملinvestigation on habit formation, risk aversion and intertemporal substitution in consumption of iranian households by gmm approach
â â â â reza roshan [1] â department of economics, university of sistan and baluchestan , iran â mosayeb pahlavani â department of economics, university of sistan and baluchestan, iran â mohammad nabi shahyaki tash â department of economics, university of sistan and baluchestan, iran â â â â abstract â consumption is the principal feature of iranâs gross national production. therefor...
متن کاملThe Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility∗
The objective of this note is to understand the implications for consumption and portfolio choice of the separation of an investor’s risk aversion and elasticity of intertemporal substitution that is made possible by recursive utility, in contrast to expected utility where the two are dictated by the same parameter. In particular, we study whether the optimal dynamic consumption and portfolio d...
متن کاملOptimal Consumption Choice under Uncertainty with Intertemporal Substitution†
We extend the analysis of the intertemporal utilitymaximization problem for HindyHuang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under arbitrary convex portfolio constraints, including the cases of both complete and incomplete markets. For the complete market setting, Kuhn-Tucker-like necessar...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1431093