In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-call...In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-called CRRA case. The ideacomes from the completion technique ever used in LQ optimal control.展开更多
A general consumption/investment problem have been considered for an agent whose actions cannot affect the market prices, and strive to maximize total expected discounted utility of both consumption and terminal wealt...A general consumption/investment problem have been considered for an agent whose actions cannot affect the market prices, and strive to maximize total expected discounted utility of both consumption and terminal wealth . Furthermore, Karatzas et al. has also approached the case of market model with constant coefficients. We have generalized the model with constant coefficients to more general case[2] , where we supposed discount process β( t) to be finite piecevrise function. We will further generalize our previous results when β( t) is infinite piecewise and continuous functions, respectively.展开更多
This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity ...This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple- priors utility and the technique of backward stochastic differential equations （BSDEs）, we transform the （^-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor＇s uncertainty. Our model investi- gates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flex- ibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.展开更多
文摘In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-called CRRA case. The ideacomes from the completion technique ever used in LQ optimal control.
文摘A general consumption/investment problem have been considered for an agent whose actions cannot affect the market prices, and strive to maximize total expected discounted utility of both consumption and terminal wealth . Furthermore, Karatzas et al. has also approached the case of market model with constant coefficients. We have generalized the model with constant coefficients to more general case[2] , where we supposed discount process β( t) to be finite piecevrise function. We will further generalize our previous results when β( t) is infinite piecewise and continuous functions, respectively.
基金Supported by National Natural Science Foundation of China (71171003, 71271003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China (12YJA790041)+1 种基金Anhui Natural Science Foundation (090416225, 1208085MG116)Anhui Natural Science Foundation of Universities (KJ2010A037, KJ2010B026)
文摘This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple- priors utility and the technique of backward stochastic differential equations （BSDEs）, we transform the （^-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor＇s uncertainty. Our model investi- gates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flex- ibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.
