Optimal consumption-portfolio rules with biased beliefs

被引：3
|
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
收藏
页码：152 / 157
页数：6
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