Asset Prices in an Exchange Economy with Habit Formation
分析具有习惯形成偏好的代表性代理人交换经济中的资产价格，推导出利率和风险溢价的显式解，并发现消费平滑性在随机利率下仍可实现，消费资本资产定价模型在随机系数下可能不成立。
This paper analyzes asset prices in a representative agent exchange economy with habit-forming preferences. For a general class of utility indices and endowment processes, the authors characterize the optimal demand for consumption and derive explicit solutions for the interest rate and asset risk premia. They show that consumption smoothness may obtain even when the interest rate is stochastic. The consumption capital asset pricing model may not hold when the endowment process has stochastic coefficients; asset risk premia are larger under mild assumptions. The interest rate depends on the growth in the standard of living. Malliavin calculus is employed in the analysis. Copyright 1991 by The Econometric Society.