재무연구 제 권 호 (2011년 11월)
Asian Review of Financial Research, Vol., No..
pp.453~476
pp.453~476
Robust Consumption and Portfolio Rules with a New State Variable
Bong-Gyu Jang Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea,
Seungkyu Lee Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea,
Byung Hwa Lim Korea Economic Research Institute, Seoul, Korea
We nd a robust consumption and portfolio rules for an investor with max-min type utility suggested by Golboa and Schmeidler (1989). Following Hansen, Sargent, Turmuhambetova, and Williams (2006) suggestions, we employ a new state variable, continuation entropy, as a measure of the magnitude of investors pessimism toward information loss of the distribution of risky asset return. Numerical results tell us that the optimal consumption and portfolio rules can change dramatically according to the change of the level of the continuation entropy.
Bong-Gyu Jang
Seungkyu Lee
Byung Hwa Lim
We nd a robust consumption and portfolio rules for an investor with max-min type utility suggested by Golboa and Schmeidler (1989). Following Hansen, Sargent, Turmuhambetova, and Williams (2006) suggestions, we employ a new state variable, continuation entropy, as a measure of the magnitude of investors pessimism toward information loss of the distribution of risky asset return. Numerical results tell us that the optimal consumption and portfolio rules can change dramatically according to the change of the level of the continuation entropy.
