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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. 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.
    3. 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.
    4. 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.

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