居民最优消费与投资组合--基于不完全市场的分析  

Optimal Consumption and Portfolio Allocation under Incomplete Market

作　　者：彭涓 杨金强[2] 刘泽华 赵思琦 PENG Juan;YANG Jinqiang;LIU Zehua;ZHAO Siqi(Business School,East China University of Political Science and Law,Shanghai 201620,China;School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;School of Management,New York Institute of Technology,New York 10023,U.S.A)

机构地区：[1]华东政法大学商学院,上海201620 [2]上海财经大学金融学院,上海200433 [3]纽约理工大学管理学院,纽约10023

出　　处：《财经理论与实践》2021年第6期75-81,共7页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金项目(71772112;71972122;72072108);上海财经大学创新团队建设项目(2016110241)。

摘　　要：运用动态最优控制理论与随机金融分析方法,研究由劳动收入的特质风险与借贷约束导致的非完全市场对消费者最优投资和消费策略、波动及福利损失的影响,得到相应的动态最优投资和消费策略。研究发现:非完全市场会显著抑制消费者的消费动机和投资动机,并加剧消费波动和投资波动。此外,财务困境下非完全市场会对消费者造成高达40%的福利损失。Using the standard dynamic control theory and stochastic financial analysis method,this paper investigates the effects of incomplete market caused by idiosyncratic risk and borrowing constraints of labor income on agent's optimal portfolio allocation and consumption strategy,volatility and welfare loss,the corresponding optimal investment and consumption strategies is obtained.The results show that the incomplete market will significantly reduce the agent's consumption motivation and induce under-investment,and raise the consumption volatility and investment volatility.In addition,it predicts that the welfare loss of agents due to incomplete market under financial distress is as high as 40%.

关 键 词：特质风险 非完全市场 投资组合 借贷约束 

分 类 号：F830.59[经济管理—金融学]