Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level
研究了损失厌恶个体在参考水平随时间内生更新时的最优消费与投资组合策略，发现其会通过延迟消费下降来保护当前消费，且投资策略随状态变化，参考水平内生性增加整体风险承担并随年龄降低风险暴露，传统CRRA策略的福利损失超过10%。
We explicitly derive and explore the optimal consumption and portfolio policies of a loss-averse individual who endogenously updates his or her reference level over time. We find that the individual protects current consumption by delaying painful reductions in consumption after a drop in wealth, and increasingly so with higher degrees of endogeneity. The incentive to protect current consumption is stronger with a medium wealth level than with a high or low wealth level. Furthermore, this individual adopts a conservative investment strategy in normal states and typically a more aggressive strategy in good and bad states. Endogeneity of the reference level increases overall risk-taking and generates an incentive to reduce risk exposure with age even without human capital. The welfare loss that this individual would suffer under the conventional constant relative risk aversion (CRRA) consumption and portfolio policies easily exceeds 10%. This paper was accepted by Tyler Shumway, finance.