In this paper, I establish a numerical method to solve a generic consumption-portfolio choice problem with predictability in stock prices, house prices, and labor income. I generalize the SAMS method introduced by Bick et al. (Manag Sci 59:485–503, 2013) to state-dependent modifiers. I set up artificial markets to derive closed-form solutions for my life-cycle problem and transform the resulting consumption-portfolio strategies into feasible ones in the true market. To obtain transformed-feasible strategies that are close to the truly, unknown optimal strategies, I introduce state-dependent modifiers. I show that this generalization of the SAMS method reduces the welfare losses from over 10% to less than 2%.

在本文中，我建立了一种数值方法来解决具有价格，房价和劳动收入可预测性的一般消费-投资组合选择问题。我概括了Bick等人介绍的SAMS方法。（Manag Sci 59：485–503，2013）到依赖状态的修饰语。我建立了人工市场，以得出针对我的生命周期问题的封闭式解决方案，并将由此产生的消费组合策略转化为实际市场中可行的策略。为了获得与真实的，未知的最佳策略接近的，可行的转换策略，我引入了状态相关修饰符。我证明了SAMS方法的这种泛化将福利损失从超过10％减少到不到2％。