变折现率下带含糊厌恶与预期的最优投资研究

On Study of Optimal Investment with Ambiguity and Anticipation under Fluctuated Discounting Rate

  • 摘要: 本文采用折现率为时间的函数下的递推多先验效用, 研究Merton模型在带预期条件下的最优消费和投资组合决策问题, 其中含糊与风险是有区别的. 在幂效用函数情形下, 刻画了投资者最优投资决策, 表明了含糊厌恶和预期对最优投资的影响. 最优投资组合决策由倒向随机微分方程和Malliavin导数导出.

     

    Abstract: This paper, adopting the recursive multiple-priors utility with fluctuated discounting rate, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. In the case of a power utility function, the paper characterizes the optimal investment which is affected by both ambiguity and anticipation. The optimal portfolio is derived in terms of backward stochastic differential equation and Malliavin derivatives.

     

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