Consumption and Portfolio Choice under Internal Multiplicative Habit Formation
研究了个人在消费与内生习惯之比中获得效用时的最优消费和投资行为，通过预算约束线性化得到闭式解，揭示了习惯形成对边际消费倾向和股票债券投资的影响。
This paper explores the optimal consumption and investment behavior of an individual who derives utility from the ratio between his consumption and an endogenous habit. We obtain closed-form policies under general utility functionals and stochastic investment opportunities by developing a nontrivial linearization to the budget constraint. This enables us to explicitly characterize how habit formation affects the marginal propensity to consume and optimal stock–bond investments. We also show that in a setting that combines habit formation with Epstein–Zin utility, consumption no longer grows at unrealistically high rates at high ages and investments in risky assets decrease.