Robust Portfolio Choice And Asset Pricing With Durable Consumer Goods

This article mainly combines model uncertainty and the durable consumer goods,which are two of the most important research objects in asset pricing theories.It analyzes the dynamic investment portfolio and consumption issues faced by a robust investor in the economy with durable consumer goods,where consumption comes from services offered by durable consumer goods.In addition,the article discusses two cases,in one of which there exists transaction costs and in the other transaction costs are absent in the commodity market.In order to simplify the model Derivation,we assume that transaction costs are borne by the seller.In both cases,the techniques and equations used to analyze consumer decision-making behavior are essentially the same,but the resulting consumer behavior has undergone differences.When there are transaction costs,this article first proves that the portfolio of risk assets held by a typical consumer is always proportional to the market portfolio,so that the standard capital asset pricing model(CAPM)based on market portfolio is hold.Subsequently,we pointed out that the ratio between one' s wealth and the market value of his durable consumer goods is the signal whether consumer should repurchase the durable goods he consume.That is,the consumer's state-quantity optimal consumption rules make the ratio pure diffusion in an open interval.In the process,the boundary of this open interval is determined by exogenous parameters;at the boundaries of this interval,consumers will change the consumption of durable goods,so that the ratio jumps and returns to an optimal value within the interval,which is also determined by exogenous parameters.On this basis,this paper rebuild that the robustness of representative individuals raises the risk premium,which is also true in the economy with durable consumer goods.In the absence of transaction costs,the value of consumers holding durable consumer goods is continuously changing.This continuous change can also be understood as that the utility of consumers is product from public consumer goods.Since the production and purchase of durable consumer goods are continuous,we can define the general equilibrium to clear the product market and capital market at the same time,and then calculate the relationship among risk premium,robustness preferences,the relative risk aversion and the durability of consumer goods.The relationship concludes that,compared to the standard CCAPM,both robustness preferences and consumer product durability will rise to a risk premium.This article points out that the mechanism behind the asset pricing model is actually the case where the ratio of optimal consumption to wealth remains constant in the general equilibrium state.The risk-free interest rate and risk premium will automatically adjust to make the ratio of consumption to wealth.Close to this optimal value.In the appendix,Von Neumann-Morgenstern utility function is relaxed,and the recursive utility is used to separate the elasticity of intertemporal substitution from the risk aversion coefficient,and then the representative consumer's investment behavior regarding risky assets is obtained.It is proved that the nature of the optimal consumption and wealth ratio remains unchanged and the representative individual of recursive utility also holds.