有限周期内具有习惯形成与财富偏好的消费与储蓄问题  

Consumption and saving problems with habit formation and wealth preference under finite time horizon

作　　者：凌爱凡[1] 吕江林[1] 

机构地区：[1]江西财经大学金融与统计学院金融风险管理研究所,南昌330013

出　　处：《系统工程理论与实践》2011年第1期43-54,共12页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(BJY145);国家自然科学基金(71001045;10971162);江西省教育厅青年科学基金(GJJ10114)

摘　　要：在假设消费者的生命周期为有限的情形下,建立了一类具有习惯形成和财富偏好的消费与储蓄模型.将消费者的消费习惯、不确定性劳动收入及财富偏好引入到模型中,应用CARA效用函数,推导出了消费与储蓄动态优化问题的闭形式解,通过模拟方法给出了最优消费路径.由模拟结果表明,一方面,消费习惯的存在会减弱劳动收入不确定性给消费带来的边际效用;另一方面,当财富偏好与消费习惯同时存在,且随着财富偏好强度系数增大时,劳动收入不确定性对消费水平的影响也会逐渐增大.The authors established a class of consumption and Saving models with habit formation and wealth preference under the assumption that the life cycle of consumer is finite.Habit formation,uncertain labor income and wealth preference are viewed as variables of the proposed model in their analysis. The closed solutions of the model are derived by applying so-called CARA utility function,and optimal consumption paths under different cases are simulated.One finds from the simulated results that,on the one hand,habit formation can weaken the marginal utility of uncertainty of labor income to consumption, and on the other hand,when habit formation and wealth preference exist at the same time,the influence of uncertainty of labor income on consumption increases as strength factor of wealth preference is increasing.

关 键 词：习惯形成 预防性储蓄 财富偏好 不确定性收入 风险厌恶 

分 类 号：F036.3[经济管理—政治经济学] O221.3[理学—运筹学与控制论]