金融工程研究中心学术报告：Optimal housing, consumption and portfolio choices

This paper investigates a housing, investment and consumption problem for a household who has stochastic income, consumes on non-housing goods, invests in financial assets, and plans to buy a house for dwelling. When buying a house, the household is required to pay a fraction of the housing value as the down payment and finances the rest through a mortgage loan. The household obtains utility from the consumption before buying a house, and from the consumption and housing units after buying a house. The household aims to maximize the total expected discounted utility, and to find the optimal consumption and investment strategies before and after buying a house, the optimal time to buy a house and the optimal housing units.