本文關(guān)鍵詞：股價波動率不確定下的最優(yōu)消費與投資問題研究　出處：《安徽工程大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 股票價格波動率 最優(yōu)消費與投資 常相對風險厭惡 模型不確定 通脹 均值回復過程 奈特不確定 含糊對沖需求

【摘要】：關(guān)于最優(yōu)消費和投資問題的研究,諸多學者更是在許多方面進行了孜孜不倦地探索,但大多數(shù)模型都是基于風險資產(chǎn)(股票)價格波動率為常數(shù)的假設。隨著金融市場的不斷創(chuàng)新和改善,對更加符合實際的模型進行研究已不容忽視。 本文基于現(xiàn)有的理論成果,首先,在連續(xù)時間模型假設下,研究股票價格波動率具有模型不確定對投資者的最優(yōu)消費和投資策略的影響,通過求解HJB方程得到最優(yōu)策略,并在常相對風險厭惡效用的情形下,獲得最優(yōu)消費和投資的顯式解,進而得到含糊厭惡的投資者是基于股價波動率的上界作出決策,并對所得結(jié)果進行數(shù)值模擬和經(jīng)濟分析。其次,在通脹環(huán)境下,研究股票價格波動率具有奈特不確定時對投資者的最優(yōu)消費和投資策略的影響,獲得通脹環(huán)境下投資者的最優(yōu)投資和消費策略的顯式解,并對所得結(jié)果進行數(shù)值模擬和經(jīng)濟分析。最后,研究通脹服從均值回復過程時投資者的最優(yōu)消費和投資問題,在給定通脹服從的均值回復過程的微分方程與常相對風險厭惡效用的情形下,得到投資者的最優(yōu)投資和消費策略。本文表明了奈特不確定、通脹和均值回復均會對投資者的最優(yōu)消費和投資產(chǎn)生影響。 因此,本文的理論價值在于股價波動率不確定時獲得了投資者的最優(yōu)消費和投資策略的顯式解,并給出了含糊厭惡的投資者都是基于股價波動率的上界作出決策的。由于本文模型較傳統(tǒng)模型更加完善,更加符合實際,對投資者在市場中選擇最優(yōu)消費和投資策略具有一定的現(xiàn)實指導作用,所以本模型較傳統(tǒng)模型具有一定的實際應用價值。
[Abstract]:Study on optimal consumption and investment problem, many scholars are in many aspects of the exploration diligently, but most of the models are based on risk assets (stock) price volatility is the assumption of a constant. With the continuous innovation and improvement of the financial market, to study more realistic models can not be ignored.
This paper is based on the existing theoretical results, first of all, in a continuous time model, stock price volatility has uncertain effect on the model of optimal consumption and investment strategy of investors, the optimal strategy by solving the HJB equation and the constant relative risk aversion utility case, explicit optimal consumption and investment solutions and then get the ambiguity averse investor is making decisions based on the upper bound of stock price volatility, and analyzing the results of numerical simulation and economy. Secondly, in an inflationary environment, influence of the stock of the optimal consumption and investment strategy of investors price volatility with Knightian uncertainty, investors have explicit inflation environment the optimal investment and consumption strategies, and analyzing the results of numerical simulation and economic research. Finally, inflation follows the mean reversion process investors most Optimal consumption and investment problem, return differential equation process and constant relative risk aversion utility in the case of a given subject under the mean inflation, investors get the optimal investment and consumption strategies. This paper shows that the Knightian uncertainty, inflation and mean reversion will impact on the optimal consumption and investment of investors.
Therefore, the value of this paper lies in the volatility of stock market uncertainty to obtain explicit optimal consumption and investment strategy for investors of the solution, and gives the ambiguity averse investors are making decisions based on the upper bound of stock price volatility. Because this model is more perfect than the traditional model, more practical and has some practical guiding significance for investors to choose the optimal consumption and investment strategy in the market, so this model is better than the traditional model has a certain practical value.

【學位授予單位】：安徽工程大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.91;F224

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