A New Approach to the Joint Consumption-Portfolio Problem
提出一种新方法，将消费与投资组合决策联合求解，区分风险偏好与时间偏好的作用，并将费雪两期分析推广到不确定环境，扩展了效用最大化下的最优解集。
OVER THE PAST TWO DECADES, extensive research has been directed at solving, for an individual economic agent, the problems of (1 ) selecting an optimal portfolio of financial securities in a risky one-period setting (e.g., the pioneering contributions of Markowitz and Tobin) and (2) determining an optimal multiperiod consumption plan in a world of perfect certainty (e.g., the early work of Brumberg, Modigliani, and Friedman). These two very important kernels of modern financial economics developed in virtual isolation from one another until the recent contributions of Dreze and Modigliani [6], Sandmo [29], Samuelson [28], Merton [19], Hakansson [12], and Fama [7]. It is now well accepted that one cannot ordinarily determine his optimal financial asset holdings independently of his optimal multiperiod consumption plan, and vice versa. Focusing on the two-period case, one will discover that virtually all efforts at simultaneously solving these two decision problems employ the TPC (two-period cardinal) expected utility hypothesis. We present in this article a new formulation of the joint consumption-portfolio problem which enables us to (1) distinguish between the roles played by risk preferences and preferences in determining optimal consumption and asset demand; (2) generalize to an uncertain setting the classic Fisherian two-period diagrammatics and notion of the marginal rate of time preference; and (3) expand substantially the set of consumption-portfolio optima consistent with utility maximi-