Consumption and portfolio choice with time-inconsistent preferences
利用中国家庭金融调查数据校准模型，发现时间不一致偏好家庭消费更高、风险资产配置更多，且当风险厌恶系数小于1时老练家庭比天真家庭消费更多。
Purpose The purpose of this article is to investigate the impact of time-inconsistent preferences on household consumption and portfolio decisions by using a model that is realistically and quantitatively calibrated. Design/methodology/approach We have numerically solved the consumption-saving and portfolio strategies for the naive, sophisticated and time-consistent households, using the data from the China Household Finance Survey (CHFS) to calibrate the parameters of non-traded labor income. Findings The simulated results indicate that time-inconsistent households exhibit higher levels of consumption and allocate a larger share of their portfolio to risky assets compared to time-consistent households. Among time-inconsistent households, sophisticated households consume more than their naive counterparts if and only if the coefficient of relative risk aversion is less than one. These results are robust across different specifications. Originality/value We provide the first realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and time-inconsistent preferences. We identify the conditions under which the consumption relationship of naive and sophisticated households reverse. Our simulation results confirm that sophisticated households consume more than their naive counterparts if and only if their coefficient of relative risk-aversion is smaller than one.