Optimal consumption-portfolio rules with biased beliefs

被引：5

作者：

Hou, Shehong ^{[1
]}

Niu, Yingjie ^{[1
]}

Yang, Jinqiang ^{[1
,2
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China

[2] Shanghai Univ Finance & Econ, Shanghai Key Lab Financial Informat Technol, Shanghai, Peoples R China

来源：

ECONOMICS LETTERS | 2018年 / 173卷

基金：

中国国家自然科学基金;

关键词：

Biased beliefs; Overconfidence; Overextrapolation; Consumption; Asset allocation; OVERCONFIDENCE; INVESTMENT; PRICE;

D O I：

10.1016/j.econlet.2018.10.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We extend the model of optimal consumption and asset allocation by incorporating the biased agent beliefs-overconfidence and overextrapolation. It predicts that overconfidence entails overconsumption, lower overconfidence-induced hedging demand and overinvestment in the risky assets, while overextrapolation induces underconsumption, higher overextrapolation-induced hedging demand and under investment. Our model provides an alternative explanation for an agent's mis-consumption/hedging and portfolio misallocation from the perspective of biased beliefs. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：152 / 157

页数：6

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