earticle

영어

We nd a robust consumption and portfolio rules for an investor with max-min type utility suggested by Golboa and Schmeidler (1989). Following Hansen, Sargent, Turmuhambetova, and Williams (2006) suggestions, we employ a new state variable, continuation entropy, as a measure of the magnitude of investors pessimism toward information loss of the distribution of risky asset return. Numerical results tell us that the optimal consumption and portfolio rules can change dramatically according to the change of the level of the continuation entropy.