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Optimal Consumption and Portfolio Strategies in a Discrete-Time Model with Summary-Dependent Preferences

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  • Bodily, Samuel E.
  • White, Chelsea C.

Abstract

This paper investigates optimal consumption and portfolio mixture for a new discrete-time, discrete-state preference model. In this model, the investor's preferences for future consumption depend on current wealth and on past consumption experience through a summary descriptor of past consumption. Relations between the optimal consumption/investment decisions and the wealth and summary descriptor states are found.

Suggested Citation

  • Bodily, Samuel E. & White, Chelsea C., 1982. "Optimal Consumption and Portfolio Strategies in a Discrete-Time Model with Summary-Dependent Preferences," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(1), pages 1-14, March.
    • Handle: RePEc:cup:jfinqa:v:17:y:1982:i:01:p:1-14_01
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    Cited by:

    1. Keith C. Brown & Cristian Ioan Tiu, 2013. "The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds," NBER Chapters, in: How the Financial Crisis and Great Recession Affected Higher Education, pages 43-98, National Bureau of Economic Research, Inc.
    2. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 151-168, February.
    3. Ethem Çanakoğlu & Süleyman Özekici, 2009. "Portfolio selection in stochastic markets with exponential utility functions," Annals of Operations Research, Springer, vol. 166(1), pages 281-297, February.
    4. Keith Brown & Cristian Tiu, 2013. "The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds," NBER Working Papers 19517, National Bureau of Economic Research, Inc.

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