习惯形成下的投资组合优化

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
最优投资和消费的“标准”默顿公式包括优化消费的综合终身效用，适当地贴现，以及贴现的未来遗产。在这个提法中，任何给定时间的消费效用只取决于当时消费的数量。然而，个人的消费效用取决于过去的消费历史，这在理论上和实证上都是合理的。经济学家将此称为“习惯形成”。我们介绍了一个新的习惯形成公式，它允许非成瘾的消费模式为广泛的用途规格。在本文中，我们构造了一个简单的数学描述，并给出了数值解。我们将结果与标准结果进行了比较，并从习惯养成中得出了一些见解。投资者的消费路径往往随着时间的推移而增加，对市场波动的敏感度较低，这完美地反映了一个投资者习惯持续性的存在。同时，他的风险厌恶递减，这似乎与经验证据相矛盾，可以在模型的限制内解释。
---
英文标题：
《Portfolio Optimization under Habit Formation》
---
作者：
Roman Naryshkin and Matt Davison
---
最新提交年份：
2008
---
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
--
一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--

---
英文摘要：
  The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of consumption at any given time depends only on the amount consumed at that time. However, it is both theoretically and empirically reasonable that an individuals utility of consumption would depend on past consumption history. Economists term this "Habit Formation". We introduce a new formulation of habit formation which allows non-addictive consumption patterns for a wide variety of utility specification. In this paper we construct a simple mathematical description of this habit formation and present numerical solutions. We compare the results with the standard ones and draw insights obtained from the habit formation. The consumption path tends to increase with time and be less sensitive to the market fluctuations, which perfectly reflects the existence of habit persistence of an investor. At the same time, his decreasing risk aversion, which seems to be in contradiction with the empirical evidence, can be explained within the limitations of the model.
---
PDF链接：
https://arxiv.org/pdf/0810.0678

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：投资组合优化 投资组合 Optimization Quantitative Fluctuations 投资者 给出 Formation formation discounted