模型不确定下带通胀的最优消费和投资组合问题研究

发布时间：2018-04-19 12:25

本文选题：模型不确定 + 通胀　；参考：《管理工程学报》2017年02期

【摘要】：本文探讨了带有递归偏好的投资者在考虑通胀情形下的最优消费和投资组合。由于投资者担心模型的误定,因此寻求稳健的决策规则。通过考虑模型误定和通胀的随机波动对消费和投资组合带来的影响,建立投资者决策的值函数所满足的HJB方程,根据特定的效用函数,推导了最优消费和投资决策的显示解。通过对数值模拟结果的分析可知,对模型不确定的担忧导致了短视需求的大幅减少,从而引起最优股权分配比率的下滑。当考虑低通胀波动率且股票不确定与通胀不确定为正相关时,相对于无通胀情形,通胀对冲需求增加了最优股权分配比率;当考虑高通胀波动率且股票不确定与通胀不确定为负相关时,相对于无通胀情形,通胀对冲需求则加剧了最优股权分配比率的下滑。
[Abstract]:In this paper, we discuss the optimal consumption and portfolio of investors with recursive preference in the case of inflation.Because investors are worried about the misdefinition of the model, they seek robust decision-making rules.By considering the influence of model error and random fluctuation of inflation on consumption and investment portfolio, the HJB equation satisfied by the value function of investor decision is established. According to the specific utility function, the display solution of optimal consumption and investment decision is derived.Through the analysis of the numerical simulation results, we can see that the worry about the uncertainty of the model leads to the sharp reduction of short-sighted demand, which leads to the decline of the optimal share allocation ratio.When the low inflation volatility is considered and the stock uncertainty is positively correlated with the inflation uncertainty, compared with the non-inflation situation, the inflation hedging demand increases the optimal equity allocation ratio.When high inflation volatility is considered and stock uncertainty is negatively correlated with inflation uncertainty, the demand for inflation hedging exacerbates the decline in the optimal equity allocation ratio relative to non-inflation.
【作者单位】：安徽工程大学金融工程系;
【基金】：国家自然科学基金资助项目(71171003,71271003) 教育部人文社会科学规划基金资助项目(12YJA790041) 安徽省自然科学基金资助项目(090416225,1208085MG116)
【分类号】：F224;F830.91

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