Robustly Strategic Consumption–Portfolio Rules with Informational Frictions
在连续时间框架下，研究基础不确定性、模型不确定性和状态不确定性如何共同影响策略性消费-投资组合规则和预防性储蓄，并解释不同教育、收入水平家庭的持股行为。
This paper provides a tractable continuous-time, constant absolute risk aversion–Gaussian framework to explore how the interactions of fundamental uncertainty, model uncertainty due to a preference for robustness, and state uncertainty due to information-processing constraints (rational inattention) affect strategic consumption–portfolio rules and precautionary savings in the presence of uninsurable labor income. Specifically, after solving the model explicitly, I compute and compare the elasticities of strategic asset allocation and precautionary savings to risk aversion, robustness, and inattention. Furthermore, for plausibly estimated and calibrated model parameters, I quantitatively analyze how the interactions of model uncertainty and state uncertainty affect the optimal share invested in the risky asset and show that they can provide a potential explanation for the observed stockholding behavior of households with different education and income levels. This paper was accepted by Neng Wang, finance.