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具有死亡风险和环境不确定性的多期最优投资-消费策略

发表时间:2012-01-15  浏览量:2538  下载量:895
全部作者: 邢紫莉,牛明飞
作者单位: 兰州大学数学与统计学院
摘 要: 大多数传统投资-消费模型是已知投资环境和退出投资市场的时间,求解最优策略。为克服传统模型的不足,在离散情形下,针对风险中性投资者,引入环境不确定性和死亡风险,运用动态规划方法研究3种投资-消费问题:第一,考虑终端财富效用的投资问题;第二,考虑消费效用的投资-消费问题;第三,消费效用和终端财富效用均考虑的扩展投资-消费问题。进一步,通过模拟计算得出最优投资策略的详细表达式,并给出它们的经济含义。
关 键 词: 应用数学;投资-消费策略;多期;死亡风险;环境不确定性;动态规划
Title: Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
Author: XING Zili, NIU Mingfei
Organization: School of Mathematics and Statistics, Lanzhou University
Abstract: Most traditional investment-consumption models use the known investment environment and the time of exiting market to solve the optimal strategies. However, this paper overcomes the shortages of these traditional models. In the discrete time case, aiming to risk-neutral investors, this paper introduces environmental uncertainty and mortality risk, then applies dynamic programming approachs to solve three related investment-consumption problems, including investment-only problem that involves utility from only terminal wealth, an investment-consumption problem that involves utility from only consumption, and an extended investment-consumption problem that involves utility from both consumption and terminal wealth. In addition, the paper gets explicit expressions of the optimal investment-consumption strategies through simulating and calculating, and presents their economic implications.
Key words: applied mathematics; investment-consumption strategy; multi-period; mortality risk; environment uncertainty; dynamic programming
发表期数: 2012年1月第1期
引用格式: 邢紫莉,牛明飞. 具有死亡风险和环境不确定性的多期最优投资-消费策略[J]. 中国科技论文在线精品论文,2012,5(1):42-50.
 
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