幂效用的加性习惯：估计、渐近和 均衡

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摘要翻译：
在离散时间市场和随机禀赋的框架下，我们考虑了一个具有加性习惯的幂效用最大化问题。对于某些不完全市场，我们根据总的状态价格密度建立了最优消费流的估计，研究了当初始禀赋趋于无穷大时，消费倾向（消费与财富之比）的渐近行为，并证明了该极限是人工市场中相应的数量。对于完全市场，我们着重证明了在一个由异质个体所居住的经济中存在一个Arrow-Debreu均衡，这些异质个体的风险厌恶系数、不耐烦率和捐赠流不同，但具有相同程度的习惯形成。最后，在一个典型的agent均衡下，我们显式地计算了零息债券和Lucas树股票的价格，并研究了它对习惯形成参数的依赖关系。
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英文标题：
《Additive habits with power utility: Estimates, asymptotics and
  equilibrium》
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作者：
Roman Muraviev
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最新提交年份：
2011
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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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一级分类：Computer Science        计算机科学
二级分类：Systems and Control        系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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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
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英文摘要：
  We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we establish estimates for the optimal consumption stream in terms of the aggregate state price density, investigate the asymptotic behaviour of the propensity to consume (ratio of the consumption to the wealth), as the initial endowment tends to infinity, and show that the limit is the corresponding quantity in an artificial market. For complete markets, we concentrate on proving the existence of an Arrow-Debreu equilibrium in an economy inhabited by heterogeneous individuals who differ with respect to their risk-aversion coefficient, impatience rate and endowments stream, but possess the same degree of habit-formation. Finally, in a representative agent equilibrium, we compute explicitly the price of a zero coupon bond and the Lucas tree equity, and study its dependence on the habit-formation parameter.
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PDF链接：
https://arxiv.org/pdf/1108.2889

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关键词：Optimization maximization Quantitative Experimental equilibrium consumption 习惯 Arrow 具有 研究