Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
用非参数方法研究投资组合和消费如何随预测投资机会的变量变化，估计了不同期限和风险厌恶下的最优决策，发现组合选择显著受股息率等变量影响。
This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast time‐varying investment opportunities. I estimate single‐period and multiperiod portfolio and consumption rules of an investor with constant relative risk aversion and a one‐month to 20‐year horizon. The investor allocates wealth to the NYSE index and a 30‐day Treasury bill. I find that the portfolio choice varies significantly with the dividend yield, default premium, term premium, and lagged excess return. Furthermore, the optimal decisions depend on the investor's horizon and rebalancing frequency.