Consumption and Portfolio Decisions when Expected Returns are Time Varying
为面临时变股权溢价的无限期投资者提供了最优消费与投资组合选择的近似解析解，发现跨期对冲动机显著增加股票需求，且最优策略需择时，否则会导致较大福利损失。
This paper presents an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely lived investor with Epstein-Zin-Weil utility who faces a constant riskless interest rate and a time-varying equity premium. When the model is calibrated to U. S. stock market data, it implies that intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose risk-aversion coefficients exceed one. The optimal portfolio policy also involves timing the stock market. Failure to time or to hedge can cause large welfare losses relative to the optimal policy.