Robustly Strategic Consumption–Portfolio Rules with Informational Frictions

Published Online:https://doi.org/10.1287/mnsc.2016.2553

References

  • Ahn D, Choi S, Gale D, Kariv S (2014) Estimating ambiguity aversion in a portfolio choice experiment. Quant. Econom. 5(2):195–223.CrossrefGoogle Scholar
  • Anderson EW, Hansen LP, Sargent TJ (2003) A quartet of semigroups for model specification, robustness, prices of risk, and model detection. J. Eur. Econom. Assoc. 1(1):68–123.CrossrefGoogle Scholar
  • Banerjee A, Mullainthan S (2008) Limited attention and income distribution. Working paper, Massachusetts Institute of Technology, Cambridge.CrossrefGoogle Scholar
  • Caballero R (1990) Consumption puzzles and precautionary savings. J. Monetary Econom. 25(1):113–136.CrossrefGoogle Scholar
  • Campbell J (2006) Household finance. J. Finance 61(4):1553–1604.CrossrefGoogle Scholar
  • Campbell J, Viceira LM (2002) Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (Oxford University Press, Oxford, UK).CrossrefGoogle Scholar
  • Chen Z, Epstein L (2002) Ambiguity, risk, and asset returns in continuous time. Econometrica 70(4):1403–1443.CrossrefGoogle Scholar
  • Chen H, Ju N, Miao J (2014) Dynamic asset allocation with ambiguous return predictability. Rev. Econom. Dynam. 17(4):799–823.CrossrefGoogle Scholar
  • Chen H, Miao J, Wang N (2010) Entrepreneurial finance and non-diversifiable risk. Rev. Financial Stud. 23(12):4348–88.CrossrefGoogle Scholar
  • Coibion O, Gorodnichenko Y (2015) Information rigidity and the expectations formation process: A simple framework and new facts. Amer. Econom. Rev. 105(8):2644–2678.CrossrefGoogle Scholar
  • Davis S, Willen P (2000) Using financial assets to hedge labor income risks: Estimating the benefits. Working paper, University of Chicago, Chicago.CrossrefGoogle Scholar
  • Elmendorf D, Kimball M (2000) Taxation of labor income and the demand for risky assets. Internat. Econom. Rev. 41(3):801–33.CrossrefGoogle Scholar
  • Gennotte G (1986) Optimal portfolio choice under incomplete information. J. Finance 41(3):733–749.CrossrefGoogle Scholar
  • Guiso L, Haliassos M, Jappelli T (2002) Household Portfolios (MIT Press, Cambridge, MA).CrossrefGoogle Scholar
  • Haliassos M, Bertaut C (1995) Why do so few hold stocks? Econom. J. 105(432):1110–1129.Google Scholar
  • Haliassos M, Michaelides A (2003) Portfolio choice and liquidity constraints. Internat. Econom. Rev. 44(1):143–177.CrossrefGoogle Scholar
  • Hansen LP, Sargent TJ (2005) Robust estimation and control under commitment. J. Econom. Theory 124(9):258–301.CrossrefGoogle Scholar
  • Hansen LP, Sargent TJ, Tallarini TD Jr (1999) Robust permanent income and pricing. Rev. Econom. Stud. 66(4):873–907.CrossrefGoogle Scholar
  • Hansen LP, Sargent TJ, Turmuhambetova G, Williams N (2006) Robust control and model misspecification. J. Econom. Theory 128(1):45–90.CrossrefGoogle Scholar
  • Hansen LP, Sargent TJ, Wang N (2002) Robust permanent income and pricing with filtering. Macroeconom. Dynam. 6(1):40–84.CrossrefGoogle Scholar
  • Heaton J, Lucas D (2000) Portfolio choice in the presence of background risk. Econom. J. 110(460):1–26.Google Scholar
  • Hong H, Torous W, Valkanov R (2007) Do industries lead stock markets? J. Financial Econom. 83(2):367–396.CrossrefGoogle Scholar
  • Kasa K (2006) Robustness and information processing. Rev. Econom. Dynam. 9(1):1–33.CrossrefGoogle Scholar
  • King M, Leape J (1987) Asset accumulation, information, and the life cycle. NBER Working Paper 2392, National Bureau of Economic Research, Cambridge, MA.CrossrefGoogle Scholar
  • Liptser RS, Shiryaev AN (2001a) Statistics of Random Processes, I: General Theory (Springer, Berlin).CrossrefGoogle Scholar
  • Liptser RS, Shiryaev AN (2001b) Statistics of Random Processes, II: Applications (Springer, Berlin).Google Scholar
  • Liu H (2011) Dynamic portfolio choice under ambiguity and regime switching mean returns. J. Econom. Dynam. Control 35(4):623–640.CrossrefGoogle Scholar
  • Liu J, Pan J, Wang T (2005) An equilibrium model of rare-event premia and its implication for option smirks. Rev. Financial Stud. 18(1):131–164.CrossrefGoogle Scholar
  • Lundtofte F (2008) Expected life-time utility and hedging demands in a partially observable economy. Eur. Econom. Rev. 52(6):1072–1096.CrossrefGoogle Scholar
  • Luo Y (2008) Consumption dynamics under information processing constraints. Rev. Econom. Dynam. 11(2):366–385.CrossrefGoogle Scholar
  • Luo Y (2010) Rational inattention, long-run consumption risk, and portfolio choice. Rev. Econom. Dynam. 13(4):843–860.CrossrefGoogle Scholar
  • Luo Y, Young ER (2010) Risk-sensitive consumption and savings under rational inattention. Amer. Econom. J.: Macroeconom. 2(4):281–325.CrossrefGoogle Scholar
  • Luo Y, Young ER (2016) Induced uncertainty, market price of risk, and the dynamics of consumption and wealth. J. Econom. Theory 163(May):1–41.CrossrefGoogle Scholar
  • Maenhout PJ (2004) Robust portfolio rules and asset pricing. Rev. Financial Stud. 17(4):951–983.CrossrefGoogle Scholar
  • Merton RC (1971) Optimum consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3(4):373–413.CrossrefGoogle Scholar
  • Mondria J (2010) Portfolio choice, attention allocation, and price comovement. J. Econom. Theory 145(5):1837–1864.CrossrefGoogle Scholar
  • Peng L (2004) Learning with information capacity constraints. J. Financial Quant. Anal. 40(2):307–330.CrossrefGoogle Scholar
  • Reis R (2011) When should policymakers make announcements? Working paper, Columbia University, New York.Google Scholar
  • Sims CA (1998) Stickiness. Carnegie-Rochester Conf. Series Public Policy 49(1):317–356.CrossrefGoogle Scholar
  • Sims CA (2003) Implications of rational inattention. J. Monetary Econom. 50(3):665–690.CrossrefGoogle Scholar
  • Svensson L, Werner I (1993) Nontraded assets in incomplete markets: Pricing and portfolio choice. Eur. Econom. Rev. 37(5):1149–1168.CrossrefGoogle Scholar
  • Van Nieuwerburgh S, Veldkamp L (2009) Information immobility and the home bias puzzle. J. Finance 64(3):1187–1215.CrossrefGoogle Scholar
  • Viceira L (2001) Optimal portfolio choice for long-horizon investors with non-tradable labor income. J. Finance 56(2):433–470.CrossrefGoogle Scholar
  • Wang N (2003) Caballero meets Bewley: The permanent-income hypothesis in general equilibrium. Amer. Econom. Rev. 93(3):927–936.CrossrefGoogle Scholar
  • Wang N (2004) Precautionary saving and partially observed income. J. Monetary Econom. 51(8):1645–1681.CrossrefGoogle Scholar
  • Wang N (2009) Optimal consumption and assets allocation with unknown income growth. J. Monetary Econom. 56(4):524–534.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.