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Optimal Consumption and Portfolio Strategies in a Discrete-Time Model with Summary-Dependent Preferences

Published online by Cambridge University Press:  06 April 2009

Samuel E. Bodily  and
Chelsea C. White
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Extract

This paper investigates optimal consumption and portfolio mixture for a new discrete-time, discrete-state preference model. In this model, the investor's preferences for future consumption depend on current wealth and on past consumption experience through a summary descriptor of past consumption. Relations between the optimal consumption/investment decisions and the wealth and summary descriptor states are found.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 1 , March 1982 , pp. 1 - 14
Copyright
Copyright © School of Business Administration, University of Washington 1982

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References

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