Knight不确定下考虑保险和退休的最优消费-投资和遗产问题研究

运筹学学报 ›› 2014, Vol. 18 ›› Issue (3): 88-98.

Knight不确定下考虑保险和退休的最优消费-投资和遗产问题研究

刘宏建, 费为银, 朱永王, 郑安曼

1. 安徽工程大学金融工程系, 安徽芜湖 241000,
2. 西安科技大学管理学院, 西安 710600

出版日期:2014-09-15 发布日期:2014-09-15
通讯作者: 费为银 E-mail:wyfei@ahpu.edu.cn
基金资助:
国家自然科学基金 (Nos. 71171003, 71271003, 71210107026), 安徽省自然科学基金 (No. 10040606003), 安徽省高校自然科学基金 (Nos. KJ2012B019, KJ2013B023)

Optimal consumption-portfolio and bequest with insurance and retirement under Knighting uncertainty

LIU Hongjian¹, FEI Weiyin^1,*, ZHU Yongwang¹, ZHENG Anman²

1. Department of Financial Engineering, Anhui Polytechnic University, Wuhu 241000, Anhui, China, 2. School of Management, Xi'an University of Science and Technology, Xi'an 710600, China

Online:2014-09-15 Published:2014-09-15

摘要/Abstract

摘要： 研究在Knight不确定环境下, 考虑投资者遗产和保险, 在三种不同借款约束下的最优消费与投资问题. 借助于倒向随机微分方程~(BSDE)~理论求出了投资者最优消费和投资策略的显式表达式．最后结合数值分析, 给出含糊与含糊态度对最优消费和投资决策的影响．

关键词: 最优消费和投资, 自由选择退休, 倒向随机微分方程, Knight不确定, 遗产

Abstract: This paper studies an optimal consumption and portfolio problem with an investor's heritage and insurance under Knighting uncertainty and three different borrowing constraints. The optimal consumption-investment and bequest of an investor have been solved explicitly by using of the backward stochastic differential equations (BSDE) theory. Finally, numerical results show that both ambiguity and ambiguity attitude affect the optimal consumption and portfolio choices.

Key words: optimal consumption-portfolio, voluntary retirement, BSDE, Knighting uncertainty, bequest

中图分类号:

刘宏建, 费为银, 朱永王, 郑安曼. Knight不确定下考虑保险和退休的最优消费-投资和遗产问题研究[J]. 运筹学学报, 2014, 18(3): 88-98.

LIU Hongjian, FEI Weiyin, ZHU Yongwang$, ZHENG Anman. Optimal consumption-portfolio and bequest with insurance and retirement under Knighting uncertainty[J]. Operations Research Transactions, 2014, 18(3): 88-98.

参考文献

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