部分信息下最优投资消费问题研究
发布时间：2019-04-18 16:21
【摘要】：实际的经济运行中,存在着不确定性事件,例如技术变革,新产品引进,自然灾害,法律和政策变动,金融危机等等。这些事件与风险资产的收益率之间关系复杂,对其产生的影响也很大。对于Markowitz经典的投资组合和资产定价理论,都是假设投资者已知了风险资产的期望回报率和资产波动率的前提下进行的。然而,这样的前提假设是和实际不相符的。所以,为了用更加准确的资产价格模型来描述实际情形,本文假设风险资产的收益系数是不可观测的,在这种假设下研究最优投资组合和最优消费决策问题。 本文首先研究了基于Gennotte的模型部分信息下的最优消费和最优投资组合问题。并对模型在指数效用下进行了求解,并进行数值计算。分析结果表明风险厌恶系数、投资期限、期望收益率的方差、资产价格波动率的变化对最优消费和最优投资组合都有不同趋势的影响。 然后研究了资产均值收益率为不可观测变量,并且是一个连续时间马氏链的情形。投资者用过去的资产价格来估计当前的状态。’在指数效用函数下研究最优消费和投资组合策略的选择问题。长时期投资者的最优消费和投资组合策略与短时期投资者有本质上的不同。这个不同是长时期比短时期多一个对冲头寸,来消除均值回报估计的波动。 最后研究了在异质信念下的最优消费投资问题。假设一个经济环境中,除了一个投资者以外,其他投资者对市场的判断都是一致的,也就是,市场中只存在着两种判断。研究异质信念对投资者最优消费投资的影响。研究结果表明：如果投资者相较于市场更为乐观,则他更倾向于消费；如果投资者对市场的估计越有信心,则他的消费越趋向理性。
[Abstract]:In the actual economic operation, there are uncertain events, such as technological change, new product introduction, natural disasters, legal and policy changes, financial crisis and so on. The relationship between these events and the rate of return on risky assets is complex and has a great impact on them. For Markowitz's classic portfolio and asset pricing theory, it is assumed that investors know the expected rate of return and volatility of risky assets. However, such presupposition is not consistent with reality. Therefore, in order to describe the actual situation with more accurate asset price model, this paper assumes that the return coefficient of risky assets is not observable. Under this assumption, the optimal portfolio and optimal consumption decision-making are studied. In this paper, we first study the optimal consumption and optimal portfolio under the partial information of the model based on Gennotte. At the same time, the model is solved under exponential utility, and numerical calculation is carried out. The results show that the risk aversion coefficient, the duration of investment, the variance of expected rate of return and the variation of asset price volatility have different effects on the optimal consumption and optimal portfolio. Then we study the case where the average return rate of assets is an unobservable variable and is a continuous-time Markov chain. Investors use past asset prices to estimate the current state of affairs. The choice of optimal consumption and portfolio strategy is studied under exponential utility function. The optimal consumption and portfolio strategies of long-term investors are essentially different from those of short-term investors. The difference is that the long term is one more hedge position than the short one to eliminate the volatility of the average return estimate. Finally, the problem of optimal consumption and investment under heterogeneous beliefs is studied. Suppose in an economic environment, all but one investor's judgment of the market is the same, that is, there are only two kinds of judgment in the market. This paper studies the influence of heterogeneous beliefs on investors' optimal consumption investment. The results show that if the investor is more optimistic than the market, he is more likely to spend, and the more confident the investor is in the market, the more rational his consumption is.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224
本文编号：2460166
[Abstract]:In the actual economic operation, there are uncertain events, such as technological change, new product introduction, natural disasters, legal and policy changes, financial crisis and so on. The relationship between these events and the rate of return on risky assets is complex and has a great impact on them. For Markowitz's classic portfolio and asset pricing theory, it is assumed that investors know the expected rate of return and volatility of risky assets. However, such presupposition is not consistent with reality. Therefore, in order to describe the actual situation with more accurate asset price model, this paper assumes that the return coefficient of risky assets is not observable. Under this assumption, the optimal portfolio and optimal consumption decision-making are studied. In this paper, we first study the optimal consumption and optimal portfolio under the partial information of the model based on Gennotte. At the same time, the model is solved under exponential utility, and numerical calculation is carried out. The results show that the risk aversion coefficient, the duration of investment, the variance of expected rate of return and the variation of asset price volatility have different effects on the optimal consumption and optimal portfolio. Then we study the case where the average return rate of assets is an unobservable variable and is a continuous-time Markov chain. Investors use past asset prices to estimate the current state of affairs. The choice of optimal consumption and portfolio strategy is studied under exponential utility function. The optimal consumption and portfolio strategies of long-term investors are essentially different from those of short-term investors. The difference is that the long term is one more hedge position than the short one to eliminate the volatility of the average return estimate. Finally, the problem of optimal consumption and investment under heterogeneous beliefs is studied. Suppose in an economic environment, all but one investor's judgment of the market is the same, that is, there are only two kinds of judgment in the market. This paper studies the influence of heterogeneous beliefs on investors' optimal consumption investment. The results show that if the investor is more optimistic than the market, he is more likely to spend, and the more confident the investor is in the market, the more rational his consumption is.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59;F224
【共引文献】
相关期刊论文 前1条
1 杨利雄;;IPO锁定期、信息生产和效率[J];南方经济;2013年11期
相关硕士学位论文 前4条
1 陈峥;经典风险过程和对偶模型中的投资问题[D];中南大学;2013年
2 肖子娟;不确定环境下投资组合期望效用—风险模型[D];湖北大学;2013年
3 李钰;在Knight不确定和部分信息下最优消费投资问题研究[D];安徽工程大学;2013年
4 潘磊;奈特不确定下考虑红利、通涨和机制转换的最优消费投资研究[D];安徽工程大学;2013年
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