时间偏好不一致性下的消费和投资选择——基于投资业绩稳定的视角

doi:10.16381/j.cnki.issn1003-207x.2022.2149

Abstract

Abstract:

It is based on the self-control problem in real economy and the consistent performance requirement in investment practice. The existing literature has not researched on consumption and portfolio choices in a framework integrating time-inconsistent preferences and consistent performance. Considering time-varying impatience risk and consistent-performance constraint simultaneously， their joint impacts on optimal consumption and portfolio allocation are studied. According to Grenadier and Wang （2007）， Harris and Laibson （2013）， time-inconsistent preference is characterized by a quasi-hyperbolic discount function in continuous time. According to Chen and Tian （2012）， consistent-performance constraint is defined by that the current wealth must stays at least on the level given by a weighted average of wealth in the past. The results show that the tolerance to the withdrawal in wealth and the optimal proportional allocation in risky asset are determined by the degree of consistent performance constraint and the change of time preference， which can provide theoretical support for the relationship between the time preference and risk taking and give better prediction for empirical facts such as investment behaviors in risky assets， financial wealth effect on consumption.

Key words: time-inconsistent preference, consistent performance, consumption, risky asset

CLC Number:

F830

Yuanping Wang,Jinqiang Yang,Xiangyu Meng. Optimal Consumption and Portfolio Choices with Time-inconsistent Preferences and Consistent Performance[J]. Chinese Journal of Management Science, 2026, 34(4): 1-12.

Figures/Tables 3

参数名称	参数符号	取值
无风险利率	$r$	0.01
风险资产预期收益	$μ S$	0.06
风险资产波动率	$σ S$	0.25
风险资产风险溢价	$ζ$	0.05
投资业绩贴现率	$a$	0.25
历史投资业绩权重系数	$k$	0.25
风险厌恶系数	$γ$	0.4
效用贴现率	$β$	0.05
额外贴现率	$δ$	0.9
未来自我出现的平均频率	$λ$	0.5

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Optimal Consumption and Portfolio Choices with Time-inconsistent Preferences and Consistent Performance

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