模型不确定下带红利支付的最优消费和投资组合  

Optimal Consumption and Portfolio with Dividend Payments under Model Uncertainty

作　　者：杨武[1] 费为银[1] 潘磊[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《东华大学学报（自然科学版）》2013年第3期380-384,共5页Journal of Donghua University(Natural Science)

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);安徽省高校自然科学基金资助项目(KJ2010A037)

摘　　要：探讨了带有递归偏好的投资者在考虑股票红利支付情形下的最优消费和投资组合.投资者担心模型的误定,因此寻求稳健的决策规则.假设股票的预期收益率遵循一个均值回复过程,在当投资者跨期替代弹性等于1和风险厌恶适中情形下,推导了最优消费和投资决策的显示解.通过数值模拟,发现模型不确定性厌恶增加了财富投资于股票的比例,同时股票支付红利也进一步加大了财富投资于股票的比例.The optimal consumption and portfolio for an investor with recursive preferences are explored. The investor worries about model misspecification, so the robust decision rules are sought. The expected returns of stocks is assumed to follow a mean-reverting process. When an investor＇s intertemporal elasticity of substitution is equal to one and the risk aversion is moderate, an exact analytical solution of the optimal consumption and portfolio is derived. By a numerical analysis, it is found that the aversion to model uncertainty increases the proportion of wealth invested in stocks, and the payments of stock dividends further increase the proportion of wealth invested in stocks.

关 键 词：模型不确定 红利支付 均值回复过程 投资组合 递归偏好 

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