Consumption and Investment under Housing Asset Liquidity Constrain
This paper analyses the rule of households consumption and portfolio under the residential housing investment illiquidity constrain. We present a dynamic economic model to describe the households decisions in lifetime. We derive the analytical solutions by dynamic programming. Our results show that investment in housing play an important role on households consumption and portfolio. Including housing into the households portfolio, the household reduces holding risky assets compared with classical mean-variance model. It implies that its not the optimal strategy if the household holds his wealth in financial assets according to the mean variance model. Furthermore, the standard capital asset pricing formula still holds if the return of housing is uncorrelated with the return of risky financial assets.
Consumption CAPM Dynamic programming Portfolio
Mingwu LIU
School of Management Chongqing Jiaotong University Chongqing, P.R. China
国际会议
重庆
英文
59-62
2011-09-23（万方平台首次上网日期，不代表论文的发表时间）