本文關(guān)鍵詞：股價(jià)波動(dòng)率不確定下的最優(yōu)消費(fèi)與投資問題研究　出處：《安徽工程大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票價(jià)格波動(dòng)率 最優(yōu)消費(fèi)與投資 常相對風(fēng)險(xiǎn)厭惡 模型不確定 通脹 均值回復(fù)過程 奈特不確定 含糊對沖需求

【摘要】：關(guān)于最優(yōu)消費(fèi)和投資問題的研究,諸多學(xué)者更是在許多方面進(jìn)行了孜孜不倦地探索,但大多數(shù)模型都是基于風(fēng)險(xiǎn)資產(chǎn)(股票)價(jià)格波動(dòng)率為常數(shù)的假設(shè)。隨著金融市場的不斷創(chuàng)新和改善,對更加符合實(shí)際的模型進(jìn)行研究已不容忽視。 本文基于現(xiàn)有的理論成果,首先,在連續(xù)時(shí)間模型假設(shè)下,研究股票價(jià)格波動(dòng)率具有模型不確定對投資者的最優(yōu)消費(fèi)和投資策略的影響,通過求解HJB方程得到最優(yōu)策略,并在常相對風(fēng)險(xiǎn)厭惡效用的情形下,獲得最優(yōu)消費(fèi)和投資的顯式解,進(jìn)而得到含糊厭惡的投資者是基于股價(jià)波動(dòng)率的上界作出決策,并對所得結(jié)果進(jìn)行數(shù)值模擬和經(jīng)濟(jì)分析。其次,在通脹環(huán)境下,研究股票價(jià)格波動(dòng)率具有奈特不確定時(shí)對投資者的最優(yōu)消費(fèi)和投資策略的影響,獲得通脹環(huán)境下投資者的最優(yōu)投資和消費(fèi)策略的顯式解,并對所得結(jié)果進(jìn)行數(shù)值模擬和經(jīng)濟(jì)分析。最后,研究通脹服從均值回復(fù)過程時(shí)投資者的最優(yōu)消費(fèi)和投資問題,在給定通脹服從的均值回復(fù)過程的微分方程與常相對風(fēng)險(xiǎn)厭惡效用的情形下,得到投資者的最優(yōu)投資和消費(fèi)策略。本文表明了奈特不確定、通脹和均值回復(fù)均會(huì)對投資者的最優(yōu)消費(fèi)和投資產(chǎn)生影響。 因此,本文的理論價(jià)值在于股價(jià)波動(dòng)率不確定時(shí)獲得了投資者的最優(yōu)消費(fèi)和投資策略的顯式解,并給出了含糊厭惡的投資者都是基于股價(jià)波動(dòng)率的上界作出決策的。由于本文模型較傳統(tǒng)模型更加完善,更加符合實(shí)際,對投資者在市場中選擇最優(yōu)消費(fèi)和投資策略具有一定的現(xiàn)實(shí)指導(dǎo)作用,所以本模型較傳統(tǒng)模型具有一定的實(shí)際應(yīng)用價(jià)值。
[Abstract]:Study on optimal consumption and investment problem, many scholars are in many aspects of the exploration diligently, but most of the models are based on risk assets (stock) price volatility is the assumption of a constant. With the continuous innovation and improvement of the financial market, to study more realistic models can not be ignored.
This paper is based on the existing theoretical results, first of all, in a continuous time model, stock price volatility has uncertain effect on the model of optimal consumption and investment strategy of investors, the optimal strategy by solving the HJB equation and the constant relative risk aversion utility case, explicit optimal consumption and investment solutions and then get the ambiguity averse investor is making decisions based on the upper bound of stock price volatility, and analyzing the results of numerical simulation and economy. Secondly, in an inflationary environment, influence of the stock of the optimal consumption and investment strategy of investors price volatility with Knightian uncertainty, investors have explicit inflation environment the optimal investment and consumption strategies, and analyzing the results of numerical simulation and economic research. Finally, inflation follows the mean reversion process investors most Optimal consumption and investment problem, return differential equation process and constant relative risk aversion utility in the case of a given subject under the mean inflation, investors get the optimal investment and consumption strategies. This paper shows that the Knightian uncertainty, inflation and mean reversion will impact on the optimal consumption and investment of investors.
Therefore, the value of this paper lies in the volatility of stock market uncertainty to obtain explicit optimal consumption and investment strategy for investors of the solution, and gives the ambiguity averse investors are making decisions based on the upper bound of stock price volatility. Because this model is more perfect than the traditional model, more practical and has some practical guiding significance for investors to choose the optimal consumption and investment strategy in the market, so this model is better than the traditional model has a certain practical value.

【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前9條

1 費(fèi)為銀;李淑娟;;Knight不確定下帶通脹的最優(yōu)消費(fèi)和投資模型研究[J];工程數(shù)學(xué)學(xué)報(bào);2012年06期

2 李娟;費(fèi)為銀;石學(xué)芹;李鈺;;奈特不確定下資產(chǎn)收益率發(fā)生紊亂的最優(yōu)投資策略[J];高校應(yīng)用數(shù)學(xué)學(xué)報(bào)A輯;2013年01期

3 劉鳳良;魯旭;易信;;中國部門間通貨膨脹的“均值回復(fù)”特征研究——新方法的構(gòu)建及實(shí)證分析[J];管理世界;2012年09期

4 ;Optimal consumption-leisure, portfolio and retirement selection based on α-maxmin expected CES utility with ambiguity[J];Applied Mathematics:A Journal of Chinese Universities(Series B);2012年04期

5 張凌翔;張曉峒;;通貨膨脹率周期波動(dòng)與非線性動(dòng)態(tài)調(diào)整[J];經(jīng)濟(jì)研究;2011年05期

6 王增武;;金融經(jīng)濟(jì)領(lǐng)域中的不確定性研究綜述[J];金融評論;2012年02期

7 呂會(huì)影;費(fèi)為銀;余敏秀;;通脹環(huán)境下考慮隨機(jī)微分效用的最優(yōu)消費(fèi)和投資問題研究[J];數(shù)學(xué)理論與應(yīng)用;2012年04期

8 劉金全;隋建利;閆超;;我國通貨膨脹率過程區(qū)制狀態(tài)劃分與轉(zhuǎn)移分析[J];系統(tǒng)工程學(xué)報(bào);2009年06期

9 費(fèi)為銀;陳超;梁勇;;Knight不確定下考慮負(fù)效用的消費(fèi)和投資問題研究[J];應(yīng)用概率統(tǒng)計(jì);2013年01期

，

本文編號：1421909