奈特不确定下考虑通胀和机制转换的最优消费投资研究  

Optimal consumption and portfolio under inflation and regime switching with ambiguity

作　　者：潘磊[1] 费为银[1] 杨武[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《安徽工程大学学报》2013年第2期70-73,共4页Journal of Anhui Polytechnic University

基　　金：国家自然科学基金资助项目(71171003);安徽省自然科学基金资助项目(090416225);安徽省高校自然科学基金资助项目(KJ2010A037)

摘　　要：研究了在奈特不确定和通胀的情形下,股票的预期收益率服从Markov链的跨期消费和资产选择问题.假设具有递归多先验效用的投资者拥有一个不可观测的投资机会的先验集,再借助Malliavin导数和随机分析求解了投资者最优消费投资策略的显式表达式.通过数值模拟分析,我们发现不完备信息下的连续Bayes修正产生了能够削减跨期对冲需求的含糊对冲需求,且含糊厌恶和通胀波动率增大了最优投资组合策略中对冲需求的重要性,阐明了股票是否考虑通胀对投资比例及消费比例的影响.This paper examines a continuous-time intertemporal consumption and portfolio choice problem with Knightian uncertainty and inflation, where expected returns of a risky asset follow a hidden Markov chain. Investors with recursive multiple priors utility possess a set of priors for unobservable investment opportunities. The optimal consumption and portfolio policies are explicitly characterized in terms of the Malliavin derivatives and stochastic integral equations. A numerical simulation found that continuous Bayesian revisions under incomplete information generate ambiguity-driven hedging demands that mitigate intertemporal hedging demands. Moreover,ambiguity aversion and inflation volatility magnifies the importance of hedging demands in the optimal portfolio policies. Finally,the effect of the inflation on investment and consumption has also been discussed.

关 键 词：奈特不确定 通胀 投资组合选择 机制转换 蒙特·卡洛Malliavin导数方法 

分 类 号：O211.6[理学—概率论与数理统计] F224.9[理学—数学]