基于习惯形成的随机贴现因子研究

Study of the Stochastic Discount Factor Based on Habit Formation

随机贴现因子理论是资产定价理论的方法之一。把习惯形成加入到Epstein and Zin(1989,1991)的广义预期效用模型中,得到该模型下的随机贴现因子,并与新古典幂效用函数模型、Epstein and Zin的广义预期效用模型、Campbell and Cochrane(1999)的加入习惯形成的幂效用模型进行比较。该模型是前面三个模型的推广,由此模型得到的随机贴现因子也是前面三个模型的推广;分别计算和比较四种随机贴现因子的最大的下界。

The theory of stochastic discount factor is one of the theory of asset pricing. This paper integrates external habit into the Epstein-Zin( 1989, 1991) recursive utility to build a consumption based model,obtain the stochastic discount factor of this model; and comparison with the neoclassic power of utility function model、Epstein-Zin recursive model、Campbell and Cochrane(1999) power utility model with habit formation,we get the stochastic discount factor which is the expansion of three models; to calculate and compare the largest of low bound,the predecessors conclusions are our special circumstances.