University of Hertfordshire

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Consumption, Wealth and Indebtedness in the context of Uncertainty: The Consumption Function meets Portfolio Theory. / Bywaters, D.; Thomas, D.G.

University of Hertfordshire, 2005. (Business School Working Papers; Vol. UHBS 2005-6).

Research output: Working paper

Harvard

Bywaters, D & Thomas, DG 2005 'Consumption, Wealth and Indebtedness in the context of Uncertainty: The Consumption Function meets Portfolio Theory' Business School Working Papers, vol. UHBS 2005-6, University of Hertfordshire.

APA

Bywaters, D., & Thomas, D. G. (2005). Consumption, Wealth and Indebtedness in the context of Uncertainty: The Consumption Function meets Portfolio Theory. (Business School Working Papers; Vol. UHBS 2005-6). University of Hertfordshire.

Vancouver

Author

Bibtex

@techreport{67efcdb8d2094d38b9c2103cf22736ac,
title = "Consumption, Wealth and Indebtedness in the context of Uncertainty: The Consumption Function meets Portfolio Theory",
abstract = "The objective of this paper is to provide a sound theoretical framework for the empirical analysis of consumer indebtedness, by integrating Portfolio theory with the Life-Cycle hypothesis (LCH) model of consumption. Modern versions of this LCH theory almost always assume that utility is additive over time, but in this study the multiplicative Cobb-Douglas function is used. The new synthesis also explains the stochastic properties of consumption more fully and clearly than previous studies, in particular the uncertainty arising from rates of return on risky assets. The new theory will also help to improve the explanation of the surprise changes in consumption because these sources of risk are incorporated explicitly into the analysis.",
author = "D. Bywaters and D.G. Thomas",
year = "2005",
language = "English",
series = "Business School Working Papers",
publisher = "University of Hertfordshire",
type = "WorkingPaper",
institution = "University of Hertfordshire",

}

RIS

TY - UNPB

T1 - Consumption, Wealth and Indebtedness in the context of Uncertainty: The Consumption Function meets Portfolio Theory

AU - Bywaters, D.

AU - Thomas, D.G.

PY - 2005

Y1 - 2005

N2 - The objective of this paper is to provide a sound theoretical framework for the empirical analysis of consumer indebtedness, by integrating Portfolio theory with the Life-Cycle hypothesis (LCH) model of consumption. Modern versions of this LCH theory almost always assume that utility is additive over time, but in this study the multiplicative Cobb-Douglas function is used. The new synthesis also explains the stochastic properties of consumption more fully and clearly than previous studies, in particular the uncertainty arising from rates of return on risky assets. The new theory will also help to improve the explanation of the surprise changes in consumption because these sources of risk are incorporated explicitly into the analysis.

AB - The objective of this paper is to provide a sound theoretical framework for the empirical analysis of consumer indebtedness, by integrating Portfolio theory with the Life-Cycle hypothesis (LCH) model of consumption. Modern versions of this LCH theory almost always assume that utility is additive over time, but in this study the multiplicative Cobb-Douglas function is used. The new synthesis also explains the stochastic properties of consumption more fully and clearly than previous studies, in particular the uncertainty arising from rates of return on risky assets. The new theory will also help to improve the explanation of the surprise changes in consumption because these sources of risk are incorporated explicitly into the analysis.

M3 - Working paper

T3 - Business School Working Papers

BT - Consumption, Wealth and Indebtedness in the context of Uncertainty: The Consumption Function meets Portfolio Theory

PB - University of Hertfordshire

ER -