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シゲタ ユウキ
SHIGETA Yuki
重田 雄樹 所属 東京経済大学 経済学部 職種 准教授 |
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| 言語種別 | 英語 |
| 発行・発表の年月 | 2022/07/29 |
| 形態種別 | 研究論文（学術雑誌） |
| 査読 | 査読あり |
| 標題 | Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions |
| 執筆形態 | 単著 |
| 掲載誌名 | Journal of Economic Theory |
| 掲載区分 | 国外 |
| 出版社・発行元 | Elsevier |
| 巻・号・頁 | 204,pp.105518 |
| 担当区分 | 筆頭著者,責任著者 |
| 著者・共著者 | Yuki Shigeta |
| 概要 | This paper examines an Epstein–Zin recursive utility with quasi-hyperbolic discounting in continuous time. I directly define the utility process supporting the Hamilton–Jacobi–Bellman (HJB) equation in the literature and consider Merton's optimal consumption–investment problem for application. I show that a solution to the HJB equation is the value function. The numerical and mathematical analyses show that unlike in the constant relative risk aversion utility, present bias in the Epstein–Zin utility causes economically significant overconsumption, maintaining a plausible attitude toward risks. Additionally, the sophisticated agent's preproperation occurs if and only if the elasticity of intertemporal substitution is larger than one.
Note:Open Access |
| DOI | 10.1016/j.jet.2022.105518 |
| PermalinkURL | https://doi.org/10.1016/j.jet.2022.105518 |