| 变折现率下带含糊厌恶与预期的最优投资研究 |
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| 引用本文： | 夏登峰,费为银,刘宏建.变折现率下带含糊厌恶与预期的最优投资研究[J].应用概率统计,2010,26(3):270-276. |
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| 作者姓名： | 夏登峰 费为银 刘宏建 |
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| 作者单位： | 1. 安徽工程大学数理学院,芜湖,241000
2. 安徽工程大学数理学院,芜湖,241000;东华大学信息科学与技术学院,上海,201620 |
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| 基金项目： | 国家自然科学基金，安徽省自然科学基金，安徽省高校自然科学基金 |
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| 摘 要： | 本文采用折现率为时间的函数下的递推多先验效用,研究Merton模型在带预期条件下的最优消费和投资组合决策问题,其中含糊与风险是有区别的.在幂效用函数情形下,刻画了投资者最优投资决策,表明了含糊厌恶和预期对最优投资的影响.最优投资组合决策由倒向随机微分方程和Malliavin导数导出.
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| 关 键 词： | 含糊与预期 递推多先验效用 投资组合 流的扩张 Malliavin导数. |
On Study of Optimal Investment with Ambiguity and Anticipation under Fluctuated Discounting Rate |
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| XIA DENGFENG,FEI WEIYIN,LIU HONGJIAN.On Study of Optimal Investment with Ambiguity and Anticipation under Fluctuated Discounting Rate[J].Chinese Journal of Applied Probability and Statisties,2010,26(3):270-276. |
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| Authors: | XIA DENGFENG FEI WEIYIN LIU HONGJIAN |
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| Institution: | School of Mathematics and Physics,
Anhui Polytechnic University,School of Information Science and Technology,
Donghua University |
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| Abstract: | This paper, adopting the recursive multiple-priors
utility with fluctuated discounting rate, studies the optimal
consumption and portfolio choice in a Merton-style model with
anticipation when there is a difference between ambiguity and risk.
In the case of a power utility function, the paper characterizes the
optimal investment which is affected by both ambiguity and
anticipation. The optimal portfolio is derived in terms of backward
stochastic differential equation and Malliavin derivatives. |
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| Keywords: | Ambiguity and anticipation recursivemultiple-priors utility optimal portfolio enlargement offiltrations Malliavin derivatives |
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