多效用条件下习惯养成的贪婪算法

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2024-01-29 DOI:10.1142/s0219024923500279

SNEZHANA KIRUSHEVA, THOMAS S. SALISBURY

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引用次数: 0

摘要

在本文中，我们考虑了在有外生养老金和没有外生养老金的习惯形成模型下优化终生消费的问题。与现有文献不同的是，我们对消费与习惯的比率而不是它们之间的差值应用了幂效用。在这种情况下，马丁格尔/二元方法变得难以解决，因此我们开发了一种贪婪版本的方法，可以通过蒙特卡罗模拟来求解。我们研究了贪婪解的行为，并探讨了哪些参数值能使贪婪解成为最优解的良好近似值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A GREEDY ALGORITHM FOR HABIT FORMATION UNDER MULTIPLICATIVE UTILITY

In this paper, we consider the problem of optimizing lifetime consumption under a habit formation model, both with and without an exogenous pension. Unlike much of the existing literature, we apply a power utility to the ratio of consumption to habit, rather than to their difference. The martingale/duality method becomes intractable in this setting, so we develop a greedy version of this method that is solvable using Monte Carlo simulation. We investigate the behavior of the greedy solution, and explore what parameter values make the greedy solution a good approximation to the optimal one.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.