英文标题：
《Turnpike Property and Convergence Rate for an Investment and Consumption
Model》
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作者：
Baojun Bian, Harry Zheng
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最新提交年份：
2018
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英文摘要：
We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy. The threshold value only depends on the Sharpe ratio, the riskless interest rate and the discount rate. We show that if utilities behave asymptotically like power utilities and satisfy some simple relations with the threshold value, then the turnpike property for investment holds. There is in general no turnpike property for consumption policy. We also provide the rate of convergence and illustrate the main results with examples of power and non-HARA utilities and numerical tests.
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中文摘要：
我们讨论了最优投资和消费问题的收费公路性质。我们发现存在一个阈值，它决定了投资政策的收费公路属性。阈值仅取决于夏普比率、无风险利率和贴现率。我们证明，如果公用事业的行为渐近类似于电力公用事业，并且满足与阈值的一些简单关系，则投资的收费公路性质成立。一般来说，消费政策没有收费公路财产。我们还提供了收敛速度，并用幂函数和非HARA函数的例子以及数值试验说明了主要结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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