爱泼斯坦-津问题的稳定性

IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Michael Monoyios, Oleksii Mostovyi
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引用次数: 0

摘要

我们研究了爱泼斯坦-津(Epstein-Zin)问题在交易证券动态发生微小扭曲时的稳定性。我们在不完全市场模型的背景下进行研究,在这种情况下,我们的扰动参数化允许风险资产和利率的收益和波动性出现联合扭曲。考虑到风险规避和跨期替代弹性的最相关的经验规范,我们提供了一个条件,保证了基本问题域的凸性,并导致其解的存在性和唯一性。然后,我们证明了当模型扰动消失时,最优消费流、相关财富过程、间接效用过程和价值函数在极限上的收敛性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Stability of the Epstein–Zin problem

We investigate the stability of the Epstein–Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint distortions in returns and volatility of the risky assets and the interest rate. Considering empirically the most relevant specifications of risk aversion and elasticity of intertemporal substitution, we provide a condition that guarantees the convexity of the domain of the underlying problem and results in the existence and uniqueness of a solution to it. Then, we prove the convergence of the optimal consumption streams, the associated wealth processes, the indirect utility processes, and the value functions in the limit when the model perturbations vanish.

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来源期刊
Mathematical Finance
Mathematical Finance 数学-数学跨学科应用
CiteScore
4.10
自引率
6.20%
发文量
27
审稿时长
>12 weeks
期刊介绍: Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.
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