Optimal consumption and investment problem with random horizon in a BMAP model

In this paper, we consider the consumption and investment problem with random horizon in a Batch Markov Arrival Process (BMAP) model. The investor invests her wealth in a financial market consisting of a risk-free asset and a risky asset. The price processes of the riskless asset and the risky asset are modulated by a continuous-time Markov chain, which is the phase process of a BMAP. The possible consumption or investment are restricted to a sequence of random discrete time points which are determined by the same BMAP. The investor has only consumption opportunities at some of these random time points, has both consumption and investment opportunities at some other random time points, and can do nothing at the remaining random time points. The object of the investor is to select the consumption–investment strategy that maximizes the expected total discounted utility. The purpose of this paper is to analyze the impact of the consumption–investment opportunity and the economic state on the value functions and consumption–investment strategies. The general solution and the exact solution under the assumption that the consumption and the terminal wealth are evaluated by the power utility are obtained. Finally, a numerical example is presented.     

基础设施对制造业就业的影响:基于中国省级面板数据的实证分析

用2001-2012年的中国省级面板数据,研究了基础设施对制造业就业的影响.结果显示,在控制工资水平、投资水平、人力资本、对外开放程度和技术创新能力的条件下,基础设施对制造业就业有一定的促进作用,但是作用效果并不显著.本文的政策含义在于:鼓励加强基础设施建设,各地区要把握好加强基础设施建设的程度,不仅要注重基础设施建设的短期效应,更要加大资本投入和出口、提高人力资本水平和推动技术创新,这对于制造业就业具有积极的意义.     

基于最小交易量和交易费用的多阶段模糊投资组合

考虑了在摩擦市场下的多阶段模糊投资组合模型,基于半绝对方差风险函数,建立了带有最小交易量和交易费用限制的收益最大化多阶段模糊投资组合模型.利用绝对值函数的性质,将模型转化为混合整数线性规划形式,并通过实例验证了模型的可行性,最后对模型与基于可能性均值和可能性方差的多阶段模糊投资组合模型进行了对比,分析了模型的优越性,并验证了模型的可行性.     

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This paper considers a dividend strategy with investment in Omega model. If at a potential dividend-payment time the surplus is above, part of the excess are paid as dividends directly, the other part are used as dynamic investment capital, at a particular time, the sum of profits and investment capital will be paid as another dividend. Under this dividend policy, we get the optimal dividend strategy and the optimal portfolio policy.     

人民币汇率变动对我国开放经济中外资流人影响的研究

就人民币汇率变动对我国开放经济外资流入的传导机制进行理论分析,并以高开放地区和行业为代表,结合实际数据利用面板模型进行实证研究,结果表明:人民币汇率与我国开放经济中外资流入呈现反向变动.由于外资对我国开放经济稳定健康发展具有重大意义和影响.因此,我国需保持人民币汇率在中长期稳定,从而避免对外资流入产生大的冲击.     

Optimal life-insurance selection and purchase within a market of several life-insurance providers

We consider the problem faced by a wage-earner with an uncertain lifetime having to reach decisions concerning consumption and life-insurance purchase, while investing his savings in a financial market comprised of one risk-free security and an arbitrary number of risky securities whose prices are determined by diffusive linear stochastic differential equations. We assume that life-insurance is continuously available for the wage-earner to buy from a market composed of a fixed number of life-insurance companies offering pairwise distinct life-insurance contracts. We characterize the optimal consumption, investment and life-insurance selection and purchase strategies for the wage-earner with an uncertain lifetime and whose goal is to maximize the expected utility obtained from his family consumption, from the size of the estate in the event of premature death, and from the size of the estate at the time of retirement. We use dynamic programming techniques to obtain an explicit solution in the case of discounted constant relative risk aversion (CRRA) utility functions.     

Exponential utility maximization for an insurer with time-inconsistent preferences

This paper studies the optimal consumption–investment–reinsurance problem for an insurer with a general discount function and exponential utility function in a non-Markovian model. The appreciation rate and volatility of the stock, the premium rate and volatility of the risk process of the insurer are assumed to be adapted stochastic processes, while the interest rate is assumed to be deterministic. The object is to maximize the utility of intertemporal consumption and terminal wealth. By the method of multi-person differential game, we show that the time-consistent equilibrium strategy and the corresponding equilibrium value function can be characterized by the unique solutions of a BSDE and an integral equation. Under appropriate conditions, we show that this integral equation admits a unique solution. Furthermore, we compare the time-consistent equilibrium strategies with the optimal strategy for exponential discount function, and with the strategies for naive insurers in two special cases.     

Minimizing lifetime poverty with a penalty for bankruptcy

We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increasing function of (running) wealth. Thus, the lower wealth falls and the longer wealth stays low, the greater the penalty. This paper generalizes the problems of minimizing the probability of lifetime ruin and minimizing expected lifetime occupation, with the poverty function serving as a bridge between the two. To illustrate our model, we compute the optimal investment strategies for a specific poverty function and two consumption functions, and we prove some interesting properties of those investment strategies.     

最小风险组合证券非负投资比例系数的确定

研究非负投资比例系数约束条件下,实现风险最小化的组合证券投资问题.应用罚函数法,对最小风险组合证券的非负投资比例系数进行研究.实例表明:这一方法是可行的、有效的.     

带有风险回避的最优消费模型研究

本文在文献[1]和[2]的基础上,把模型参数推广为时间t的变量,折扣因子β(t)为[0,T]上的有界可测函数,通过计算得出带有风险回避的最优消费条件和投资公式.