Ӧ�ø���ͳ�� 2014, 30(3) 322-336 DOI:      ISSN: 1001-4268 CN: 31-1256

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�ؼ����� ����ɢ����   �������   ͨ��   Ͷ�����   HJB����   ģ�Ͳ�ȷ��.  
An Investor's Optimal Portfolio with Rare Events and Model Uncertainty under Inflation
Fei Weiyin, Xia Dengfeng, Liu Peng
Department of Financial Engineering, Anhui Polytechnic University
Abstract:

This paper is concerned with the optimal portfolio choice
of an investor under the inflation and rare events impact, where the investor is
aversive not only to the risk of loss but also to model uncertainty. An investor
allocates his assets to the risky asset and the riskless asset. First, we obtain
the dynamics of consumer-basket-price with inflation by using formula. Second,
under maximizing the expected utility of intermediate consumption and terminal
wealth discounted by inflation, the value function of ambiguity aversion investors
is characterized. Through the dynamic programming principle, we derive the HJB
equation satisfied by the value function of an investor's optimal consumption and
portfolio. Third, applying market decomposition method to solving the HJB equation,
the optimal consumption and portfolio policy for investors is obtained. Finally,
the effect of the ambiguity aversion, risk aversion and inflation on an investor's
optimal allocation strategy is analyzed by numerical simulation.

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1��Ǯ����, ����ƽ, Ҧ����.����ɢģ����Ȩ��ָ�����Ķ���[J]. Ӧ�ø���ͳ��, 2008,24(6): 648-659
2������.�������΢�ַ��̵�ƫ���ʽ[J]. Ӧ�ø���ͳ��, 2013,29(1): 75-86
3������.��������ɢ���̵�Omegaģ��[J]. Ӧ�ø���ͳ��, 2014,30(5): 497-509

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