欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
本文研究了投资者在Knight不确定下并带有通胀的最优消费和投资决策，其中区别含糊与含糊态度．首先，利用倒向随机微分方程理论，对Knight不确定投资者的α—maxmin期望效用进行了刻画．其次，利用动态规划原理，建立了最优消费和投资策略所满足的HJB方程，并给出了由三基金组成的修正的共同基金定理．最后，在定常相对风险厌恶（CRRA）效用的特殊情形下，获得了投资者最优消费和投资策略的显式解，并分析了含糊和通胀等因素对最优消费和投资决策的影响．
英文摘要：
This paper studies the optimal consumption and portfolio choice problem of an investor who differentiates ambiguity and ambiguity attitude under the Knightian uncertainty （or ambiguity） and inflation. First, through the technique of backward stochastic differential equation （BSDE）, an investor＇s α-maxmin expected utility is characterized. Next, by using the dynamic programming prin- ciple, the HJB equation of optimal policies is derived, which deduces the modified mutual fund theorem consisting of three funds. Finally, in the special case of the constant relative risk-aversion utility, we derive the explicit expression of the optimal policy, and analyze the influence of ambiguity and inflation on optimal consumption and portfolio policies.
同期刊论文项目
同项目期刊论文
Existence and uniqueness for solutions to fuzzy stochastic differential equations driven by local ma
On solutions to stochastic set differential equations of It^o type under the non-Lipschitzian condit
Empirical likelihood forheteroscedastic partially linear errors-in-variables model with -mixing erro
Empirical likelihood forsemiparametric varying-coefficient heteroscedastic partially linearerrors-in
Optimal control of Markovian switching systems with applications to portfolio decisions under inflat
Optimal consumption-leisure, portfolio and retirement selection based on alpha-maxmin expected CES u
Optimal control of uncertain stochastic systems with Markovian switching and its applications to por
Non-contact of solutions to stochastic differential equations driven by semimartingale with non-Lips
On small time large deviation principle for diffusion processes on Hilbert spaces under non-Lipschit
Properties of Solutions to Stochastic Set Differential Equations under Non-Lipschitzian Coefficients
Optimal consumption-leisure, portfolio and retirement selection based on a-maxmin expected CES utili
DYNAMIC PORTFOLIO CHOICE UNDER THE TIME-VARYING, JUMPS, AND KNIGHT UNCERTAINTY OF ASSET RETURN PROCE
期刊信息
位置：