一般约束下具有Epstein-Zin效用的最优消费与投资组合选择

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-11-17 DOI:10.3934/puqr.2023012

Zixin Feng, D. Tian

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引用次数: 0

摘要

研究了不完全市场中具有Epstein-Zin效用的投资者的消费-投资问题。封闭的(不一定是凸的)约束强加于策略。通过二次倒向随机微分方程(BSDE)描述了最优消费和投资策略。由于市场环境是随机的，这个BSDE的解是无界的，因此BMO的论点就站不住脚了。在建立鞅最优性准则后，通过对李雅普诺夫函数的精细选择，最终得到验证定理。此外，还给出了若干优化策略的算例和数值模拟。

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Optimal consumption and portfolio selection with Epstein–Zin utility under general constraints

The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment strategies are characterized via a quadratic backward stochastic differential equation (BSDE). Due to the stochastic market environment, the solution to this BSDE is unbounded and thereby the BMO argument breaks down. After establishing the martingale optimality criterion, by delicately selecting Lyapunov functions, the verification theorem is ultimately obtained. Besides, several examples and numerical simulations for the optimal strategies are provided and illustrated.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.