最优消费流的敏感性

Martin Herdegen, Johannes Muhle‐Karbe
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引用次数: 8

摘要

研究了最优消费流对随机禀赋扰动的敏感性。在领先阶,消费调整无关紧要:任何与预算约束匹配的选择,都只是使原始效用偏移了扰动的边际值。在次领先的顺序上获得非平凡的结果。在这里,人们首先解决了确定性扰动的问题,这导致了“预测测量”。对一般禀赋扰动的期望消费调整反过来由后者的条件期望给出,根据这一度量计算,并适当地加权剩余风险承受能力的条件期望。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Sensitivity of Optimal Consumption Streams
We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. At the leading order, the consumption adjustment does not matter: any choice that matches the budget constraint simply shifts the original utility by the marginal value of the perturbation. Nontrivial results obtain at the next-to-leading order. Here, one first solves the problem for a deterministic perturbation, which leads to a "prognosis measure". The desired consumption adjustment for a general endowment perturbation is in turn given by the conditional expectation of the latter, computed under this measure and appropriately weighted with the conditional expectations of the remaining risk-tolerance.
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